Barring timed underwater escort missions, snow levels, with all their slippery ice and falling rocks (not to mention the fog), are probably the deadliest.
Yet it's easy to find enjoyable — or at least memorable — ones, even if we disregard games where the entire setting is snowy (We're looking at you, Skyrim).
Assault On The Control Room (Halo: Combat Evolved)
Source: Halo Wiki
Sherbert Land (Mario Kart 64)
Source: Mario Wiki
Battle Of Hoth (Shadows Of The Empire)
Source: glennplant's LP
Ice Cap Zone (Sonic The Hedgehog 3)
Source: Sonic Wiki
Cliffhanger (Call Of Duty: Modern Warfare 2)
Source: CoD Wiki
Valak Mountain At Night (Xenoblade Chronicles)
Source: MasterLL's LP
Cool, Cool Mountain (Super Mario 64)
Dun Morogh (World Of Warcraft)
Heart Of Ice (Uncharted 2: Among Thieves)
Source: official screenshots
Phendrana Drifts (Metroid Prime)
Source: Metroid Wiki
In your opinion, which are the most amazing snow levels?