Uhh...First Squad: The Moment of Truth? It's set in the eastern front during winter. I've actually yet to watch it myself (had it in my HD forever). I heard the story was crap but the animation itself was good so it sounds worth-watching.
And speaking of snowy anime, it's a real shame Japan has never bothered to make an anime of Snow Country (Yukiguni). I suppose such works are more inclined towards live action, but if there were a good director, an anime adaptation of it would be quite fantastic.