Ice-climbing, Rjukan, Norway

Norwegian waterfalls transform into milky-blue monuments in winter and, naturally, lots of mad people climb them. With more than 170 registered ice routes, Rjukan is one of Europe's biggest and most scenic ice-climbing regions. Rjukan Adventure offers three-day beginners' courses, a six-day camp and private guiding. On a day off the ice, there's the Norwegian Industrial Workers Museum that informs guests about the world's first hydro plants and the Nazis' attempt to build a nuclear bomb in Rjukan. The Old School Hostel offers basic, homely dorms, a communal kitchen and the obligatory sauna.
• Three-day climbing courses cost £430, a six-day camp is £660 (northernalpine.com). Bunk beds start at £25 at The Old School Hostel (oldschoolhostel.no). Fly with Ryanair (ryanair.com) from Stansted to Oslo for £32 return in November and December

Bratislava, Slovakia

Bratislava has a great coffeehouse culture and nightlife. A few glasses of the Borovicka schnapps should prepare you for Subclub, a techno-focused club in a former Soviet nuclear shelter. Ice hockey is the national sport and you can watch HC Slovan Bratislava (tickets from £3) at the 8,530-seat Samsung Arena.
• Maroll's Boutique Hotel (hotelmarrols.sk), in the old town, has doubles from €122. Flights from Stansted with Ryanair (ryanair.com) to Bratislava start at £49 return

Östergötland and Södermanland, Sweden

Escape the circle-skating crowds at Somerset House and ice-skate with a sense of purpose on a four-day trek through south-eastern Sweden's vast network of frozen lakes, with Nature Travels. The trip involves ice-fishing and, if conditions allow, moon-skating. Nature Travels also offers other adventure tours in Sweden such as reindeer sledding and snow wolf tracking.
• From £699 with Nature Travels (naturetravels.co.uk), including transfers from Stockholm airport, hostel accommodation, all meals and equipment hire. Return flights from Stansted to Stockholm with Ryanair (ryanair.com) start at £30

Suðureyri, Iceland

Travellers can learn to live like a fisherman at the village of Suðureyri, at the northern tip of the Westfjords, on a new retreat called Fisherman. Guests join crews on their early morning exploits, visit an eco-friendly fishing plant and learn to cook salmon, cod and haddock the Icelandic way. The fishing village offers basic single and double rooms in a guesthouse next to the harbour and has a restaurant. On the drive there, travellers should stop at Hellulaug, a hidden natural geothermal pool facing the Atlantic Ocean.
• Fisherman (fisherman.is) has singles for £60 and doubles for £80, all with shared bathrooms. A three-hour angling trip costs £47, a tour of the factory £8. Return flights from Gatwick to Reykjavik with WOW air (wowair.com) cost £133 in November and December. The best way to reach Suðureyri is by hiring a car in Reykjavik

Tallinn, Estonia

This city is a whirl of romantic castles, chic Scandinavian design and soviet architecture, and is now also a hub for independent art and tech startups. Next week the 16-day Black Nights film festival begins, to showcase the best in world cinema. Leaving the movies behind, drive on Europe's longest ice-road over the frozen Baltic sea to the island Hiiuma: home-brewed beer, rye bread and windmills await you.
• Black Nights film festival (2012.poff.ee), three-night accommodation packages with vouchers for six films from €150pp. Flights from Gatwick with easyJet (easyjet.com) cost from £125 return

Dog sledding, Cairngorms, Scotland

No need to go to Alaska or Scandinavia to speed through breathtaking landscapes pulled by eight barking dogs on a sled – just head to Scotland. The Dog Sled Centre owns 30 trained racing dogs and, headed by four-times Iditarod (a 1,200-mile race in Alaska) champion Doug Swingley, organises day trips to the nearby Cairngorms national park and officially approved sleddog courses. Red deers and other wildlife can be spotted in the Caledonian forests of the Highlands. Sledders can stay in a basic cabin at the centre, or more comfortable B&Bs nearby, such as Aviemore Inn or Four Seasons.
• One-day excursions from £65, two-day courses are £245 (sled-dogs.co.uk). A night at the Aviemore Inn costs from £34.50pp

Lyon, France

For four days every December, during the Fête des Lumières, Lyon watches as light artists from all over the world create animated clips, surreal performances and fire shows on the imposing monuments of Place Bellecour and all over the city. During the day, the numerous small bouchons in the medieval centre – Vieux Lyon – give a good idea why Lyon is considered the food capital of France. Try the reblochon cheese, nut saucissons and Côtes du Rhône wine. For a day trip, Annecy can be reached by train; here cobbled medieval lanes lead past canalside castles to the spectacular Alpine lake.
• Fête des Lumières runs from 6-9 December. Return flights to Lyon from Gatwick and Stansted with easyJet (easyjet.com) from £68. Trains to Annecy take about two hours with direct return ticket from £45

Munich and around, Germany

Never mind Munich's Christmas market, which can be overrun and overpriced, those in the know follow the local "Münchner" on a relaxed trip to get lost in the English Garden, one of the largest inner-city parks in the world, to watch the river-surfers on the Eisbach brave the cold in thick wetsuits, and to take in the Haus der Kunst, one of the best art galleries in Germany. To escape the city, residents head to Lake Starnberger and hike in the surrounding snow-capped mountains, or drive farther south to Schloss Elmau near Garmisch, a huge castle 1,000m above sea level, which has been converted into a world-class spa-hotel known for its jazz concerts, book readings and food.
• A stay at Schloss Elmau (schloss-elmau.de) starts at €200pp per night, including full board, meals, afternoon cake and tea, access to the spa and a donation to the Elmau trust. Return flights from Gatwick to Munich start at £69 with easyJet in November/December

Igls, Austria

At the Olympic bobsleighing track in Igls near Innsbruck, daredevils can reach a speed of up to 115km/h on a kilometre-long track in a professional racing bob. Inspired by a popular German TV show, a novel craze has also reached the Austrian Alps: wok racing (as in going down the track with one's bottom squashed into a wok). Innsbruck, a buzzing student town, is ideal for some après-bob (or après-wok) and is surrounded by vast skiing resorts.
• One run in a professional racing bob seating two costs €95pp. A run in a bigger, slow "guest bob" seating five is €30pp. Two rides in a team wok cost €80pp (olympiaworld.at). Flights from Gatwick to Innsbruck cost from £69 with easyJet (easyjet.com)

Äkäslompolo, Finland

The Finnish have faith in the benefits of ice-bathing – a jump into cold water 4C or lower is supposed to keep away flu, enhance stress tolerance, improve blood circulation and be, er, fun. In Äkäslompolo, a remote village in northern Finland, less daring travellers can rent a sauna next to an ice hole in a stunning frozen lake – and if they're lucky, see the Northern Lights from the sauna-terrace. Ylläksen Yöpuu (yllaksenyopuu.com) rents out several comfortable cottages with fireplaces next to or near the lake.
• Cottages in Äkäslompolo start at €35pp per night and at €400 for two people per week. Return flights from Heathrow to Oulu start at £243. From Oulu it is best to hire a car to get to Äkäslompolo

• This article was amended on 15 November 2012 – the Fête des Lumières in Lyon runs 6-9 December, not 3-6 December as we originally stated.