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Lapland, plenty of times. Don't go in midwinter, it can be ridiculously cold and dark (as in, the sun will not rise at all or only for a few hours). Early spring is more temperate and there's enough light to do stuff outside. There's plenty of skiing resorts with hotels, restaurants/bars, snowmobile rentals, and husky/deer rides for tourists. Hundreds and hundreds of miles of well-maintained cross-country skiing routes, if you're a REAL MAN. I'd go every year if I could afford it.
Note that the popular resorts will be close to full during the season, esp. Finnish holidays.