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Take a ride on the Polar Express train, visit the Cascade Canyon Winter Train, or enjoy winter activities in the nearby San Juan Mountains. Steamboat Springs: Known for its famous Champagne Powder snow, Steamboat Springs offers excellent skiing and snowboarding opportunities. You can also walk along the charming downtown area, go ice skating, or enjoy a sleigh ride. Breckenridge: This historic mining town transforms into a winter wonderland during Christmas.