I like walking around when it's lightly snowing. And I like walking around in freshly fallen snow, when it's all crunchy under your feet. Snowball fights are okay (especially at/after midnight when you're the only ones around) and snowpeople are cool too. But mostly just the walking around.

Of course the walking around is only great when you do indeed get indoors and have a nice hot chocolate or something. If you don't go out in the cold first, the hot chocolate doesn't taste as good.