My least favorite winters were easily NE and IL. Cold, wind, sleet and ice. You can't use any of it in any meaningful way.

While not as cold, MD and VA are just as worthless. Temps get cold and you can't really use the cold weather to your advantage.

As for UT, CO and Japan. Winter wonderlands. It gets cold and you get snow, but you know it's coming, you prep for it, and you use it. Snowboarding, skiing, sledding, snowmobiling, snowmen, snowball fights, and lots of nights with hot chocolate and warm fires.

I have never lived anywhere warm like AZ, So Cal, or Vegas, so I can't really compare. But I miss winters where you can actually have fun with the cold and the snow. Midwest/plains was terrible.