Definitely been done a few times before, but I love snow levels so it's good to see it again!

I've always liked Snowpoint City and the surrounding area in Pokemon Platinum. It looks awesome, I like ice type Pokemon and Abomasnow is great!

Can't remember the name (been awhile since I've played it), but the winter cabin level in The Last of Us was great too. The snow looked awesome of course, and it was just a really fun and intense level, especially on higher difficulties.

Cool, Cool Mountain (Mario 64) and Phendrana Drifts (Metroid Prime) are really cool.Also, Click Clock Wood (Banjo Kazooie) , the 4 season level, is quite good.

Crash Bandicoot 2 - Both the normal snow level & the one with the polar bear chasing you. It used to give me such anxiety getting chased.

Yes, Snowpeak Ruins from Twilight Princess is ace.

A shout out to the Tibet levels from Tomb Raider II.

The Surface levels from GoldenEye are good fun.

Not sure if these count as "levels" per say, but I recently got into playing starbound. The snow/ice planets that come with that game are pretty nice aesthetically, and during blizzards (with mods) can feel cozy if you build a shelter and can ride it out

Freezeezy Peak, Shiverburn Galaxy, and Chill Penguin stage are the first that come to mind.

Snow Land in Kirby's Epic Yarn, for being so cosy and charming:

Click Clock Wood in winter, for the vibes of seeing it all frozen over and barren after going through spring, summer, and autumn:

Narshe in Final Fantasy VI for the atmosphere

Ice Cap Zone from Sonic 3 immediately popped in my head, so that would be my favorite. Followed by Cool Cool Mountain in Mario 64. 

Snowpeak Ruins, easily.

Uncharted 2
Mgs4
Killzone 3
Tlou
Breath of the wild
Horizon zero dawn
Death stranding
Alan wake
Gow4/ragnarok