Skyrim is the most obvious one - it just seems more appropriate in the winter.
Ditto The Long Dark, though it’s notably not festive.
When it’s really cold, and especially at night, I sometimes get an urge to play Little Inferno - it’s sort of like one of those old fireplace videos, except with added surrealism and silliness.
I really shouldn’t like it, since games in which you die repeatedly generally just irritate me, but something about it keeps me coming back. And dying.