Snow and stuff...and, uhh...the fact that the whole game takes place in Santa's castle and your goal is to save Christmas. I'm about halfway through Daze before Christmas, not a bad game but it would be much better if enemies didn't appear right in front of your face, and also if they removed some of the terrible bottomless pit parts that are almost as bad as in the Dimps Sonic games.
Jack Jackrabbit Holiday Hare '94 and '95. You could always chuck in some Winter Olympics games for added value. Personally, I suggest not the recent ones, but the truly awful Lilllehammer 94 Winter Olympics (Lillehammer '94) or the absymal NES port of Winter Games.
Wow I totally forgot about Jazz Jackrabbit! Used to play that on my old 486... Sonic with a gun!! So much fun
Max Payne is set the week of / before Christmas iirc. And strangely it's also my 'Christmas' game (ie the one I play out of habit / tradition each Christmas).