Good, Phendrana made the cut. That area did what Metroid does best, atmosphere (and, this time, without being ominous). One of the most beautiful landscapes of the 6th gen and peaceful, touching music (or sweet techno, for the later section) make it one of the best levels ever, not even counting winter themes.
The others are great choices, too. Snowboarding in Sonic 3 to introduce Ice Cap was awesome. (Fun fact: The board was supposed to be a door from Flying Battery, until they split Sonic 3 into S3 and Sonic & Knuckles and moved FBZ to second level status in S&K.) Climbing mountains with a partner in both Uncharted 2 and MW2 was epic. Though, I'd rather not fight the yeti guys again.
But Snowhead for the Zelda entry? I know Majora's Mask 3D is just weeks away, but there's a better snow level in Twilight Princess, the Snowpeak Ruins. The area leading up to Snowhead sure is winter themed and has some great moments, but most of the temple itself is pretty lackluster when it comes to winter and ice themed puzzles. Snowpeak is a big rundown mansion on a mountainside full of wolfos, ice creatures and a friendly yeti couple. It really looks like a partially collapsed building, with snow and ice filling in the rooms with the greatest decay. (Everyone should still play MM3D, though. Snowhead can still be fun, especially the boss.)