Insta Snow makes for lots of fun. Add some water to it and some polar animals.
Snow painting. I love filling up water bottles or recycled shampoo bottles with some water downed paint and let the kids go wild.
Ice Gems- The students love stacking these, or hiding them around the play yard. Fill a water balloon with water and food colouring and freeze.
I sent out a newsletter at the beginning of winter for parents to send in milk or juice cartons. We fill them with water and food colouring mixes, then open up when frozen solid. We made an entire ice castle so far.