The silence - falling snow deaden sounds. Walking around on a crisp night when there are big flakes falling, hearing the crunch of snow under my boots, and nothing else.
Warming up by a fire, with a nice mug of hot chocolate after being outside - the activity can be anything, shovelling, skidooing, skating or skiing. The key is that you are bone-tired, and a little chilled.
Snow angels - actually, I just enjoy finding a fluffy snow drift and lying down in it staring at the night sky. With the right clothes on, you aren't cold at all, and the snow hugs your body and supports you completely.
Skating outside on real ice - shinny on the lake at the cottage, skating on the canal, (often leads to warming up by a fire.)
Watching Chet in the snow - he has his moments of totally spazzing in the Paw prints in the snow - you really get to see the creature traffic in your yard in the winter time! Our place is bunny central, but you'll find all sorts of tracks out there.
Donuts - yep, skidding up and down a road, or in a parking lot, pulling on the hand-brake, and trying not to land in the snowbank. Of course, now that I own the cars I'm doing this in, I tend to stay further away from the banks. Also, it was so much more fun in rear-wheel drive cars *g*
Maroc oranges - okay, so this one is more associated with Christmas, but it's cold and snowy when I get them.