It is snowing here right now as we speak in Massachusetts. BAH!!! I might be one of the few people who feel this way, but I HATE SNOW!!! I HATE IT!!! GAH! We are expected to get at least a foot of snow here by the time it ends so I am not looking forward to that at all -_-.
Anyway, as far snow in games...I can say for certain at the very least, at or near the beginning of Tales of Destiny Directors Cut remake for PS2 there is a mountain area you must traverse that is covered in that white stuff(snow).
And I believe from when I played Tales of Eternia on PSP back in the day there was a level where it was constantly snowing. I could be wrong but I seem to remember this being true.
Finally, In Kingdom Hearts II for PS2 when you visit the world of "The land of Dragons" Mulan's world, you have to travel to a campsite on a mountain which has snow all over the ground, and as you travel up the mountain, it is covered with snow. In-fact, you eventually do something which causes a snow avalanche which causes the snow to come flying/crashing down and covering a lot of area.
That is all I can think of/remember regarding snow in games up to this point. I am sure there are more and I wish I could have thought of some OBEY/PC-FX games w/ snow but alas I cant think of any so if there are any the titles are eluding me at this point. Ah well!