Does Skyrim in general count?
I haven't played for long, so I don't know how much of the region is actually snow covered, but the opening areas are nice and cold and damn good looking.
Also, Shadow Moses Island from MGS series, and Alpine Mountains from LittleBigPlanet PSP.
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"I'm Commander Shepard, and you're standing in the biggest library in Citadel Space. Look me up."