Skiing, snowboard, snowsurfing, snowskating, skating, (for adults) cross country skiing, polar bear club (also mainly for adults) snow soccer, snow football (yes, its an actual game), snowshoeing, bobsledding (if you know a good course), sledding, ice fishing, some kinds of hunting, (for the kids and the grossly immature or parents of kids) snowforts and snowball fights), I could go on but I won't.
I was being facetious. I grew up in Maine, so I know that snow can be made into fun.