There was one with Daniel Craig, Archangel, but I can't recall where it was all set. There are some scenes in 'Our Friends In The North' set at this time of year, and most of 'Holding On' was set around winter time, though clearly filmed at different times. I am trying to think of something that has a more winters feel to it. Keep in mind that when it snows in the UK the most common time is between January 20th and Feb 20th. There is a very good Michael Winterbottom feature film, but it has the feel more of a TV series called Wonderland, which is all set around November 5th and is very much modern London. A very good film.