Sparky, this is refreshingly brisk (and nippy) topic

Off the top of my head:
Ice Climber
The Thing -- a bit of it, anyway

Ice Hockey (for all the Canucks here!)

... and then we have "classic" winter-themed stages in (nearly every 8-bit/16-bit game created):
Last Alert -- I still get the chills! Guy Kazama doesn't need a parka... or does he?
Contra -- The bastards have shields now... tougher to kill 'em.
Monster Lair -- Slip-n-slide to your death... until you get the hang of it. YOU GOTTA LOVE THE BOSS! ICEMAN!
Karnov I guess Karnov is more masculine than Guy Kazama could ever hope to be...

I could go on, and on, and on, and on...