I love thrillers and I love putting on movies with rain or snow as background noise. Movies like The Girl With A Dragon Tattoo(Fincher) has a very cold feeling because of the snow, which I think really adds to the movie.
I think alot of movies that take place on mountains don't do well to use the ice and snow as characters in the movie. Cliffhanger and Everest for example. Not my type.
Can't think too many good movies with rain other than Se7en.