I've been to a few parks and ridden coasters in the snow, but the ones that stick out in my mind are SFGAm this year, CP, SFNE in 2000 during Supermania, and Lake Compounce which was also in 2000.
My favorite ride in the snow is probably Millennium Force... Freeze your ass off then run across the midway and warm up with a nice cold beer... or twelve.