There are probably loads I haven't thought of yet but, as per usual, in no particular order:
The Thing (snow)
The Ice Storm (ice and snow)
The Fog (fog)
The Shining (snow)
The Mist (mist if that is weather – I think it is)
Snowpiercer (snow)
The Revenant (snow)
Tracks (sun)
Hard Rain (rain)
Burning Bright (hurricane/wind)
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