Interesting question. I immediately thought of
Agatha Christie: Murder on the Orient Express, although most of the game takes place inside the train of course. But when you get out there's lots of snow. I remember a little snow in
Dreamfall and in the oldie
Big Red Advenure, which takes place in Russia.
EDIT: Oh, and
Dracula 3: Path of the Dragon. And there's bound to be snow in
Nancy Drew: The White Wolf of Icicle Creek. Haven't played it though. I'm sure there must be many more.