I'd have to say that hockey is my favorite winter sport - hence it being posted in the hockey thread. All of the other ice sports are pretty rough on my knees, as I'm 6' 6" and fairly heavy. It's just easier on my body if I play hockey, particularly hockey where I avoid getting checked into the boards.
I would take up snowboarding if I could, but skiing is just rough on my ankles and knees. I still haven't learned the proper form, and I end up straining myself when I try to stop or slow down.