The Famous Sapporo Yuki Matsuri: the Snow Festival. Its held every year in Sapporo and makes the cut for one of the 200 things you should see before you die, in my humble opinion anyways. I went up and saw it in February of 2007, my last year in Japan. We also managed to see the winter sports museum, a sake factory, and I managed to hit the slopes as well.
You can read more about the Festivals on previous posts. なつかしい!