The Pale isn't the first thing most people would think of when it comes to snowy places in Skyrim. The Throat of the World--the biggest mountain in all of Tamriel--is one place that comes to mind when you think of Winter Wonderlands. However, I can't say that it ever made that much of an impact to me when I played the game. The main story may have had many interesting 'peak' moments in that location, but it never truly stuck with me.
Dawnstar, the northern port, is the capitol city of the Pale. The landscape of this Hold is slightly varied, with looming mountains tops casting shadows over the snowy plains at their base.
My favorite spot in this Hold--shown in the picture above--is the character housing that comes with the Hearthfire DLC. It sits near the northern border of Whiterun Hold, and has a lovely view of the Throat of the World.
To me, this is the perfect house for the Dragonborn to make their home. It's location is central in Skyrim, and it's not in the middle of a busy and bustling city--which just doesn't seem right for the protagonist, but maybe that's just me.