Wind River is one of those that I save for watching in winter if I'm snowed in. Also on my list:
The Thing (the 1980s one, obviously)
The Shining - currently I'm reading the book
The Gray
Misery
Hateful 8
The Revenant
Fargo
Rambo First Blood
If anyone has more suggestions of bleak, wintry films, please let me know. I've heard that Jeremiah Johnson might fit, so I'll give that a try.