Bethpage used to allow skiing and sledding down the slopes off the first tees of the Black, Red and Green courses up until the early 1950's.
In addition, they opened the Clubhouse for Friday and Saturday night "singles dances" in the 40's & 50's.
They also built separate football and baseball stadiums that were used by both semi-pro and industrial league teams up until the late 60's.
There's a course in Door County, Wisconsin, Peninsula State Park Golf Course, that uses a huge downhill par 3 (17) as an awesome sledding hill in the winter. The rest of the course has some snowmobile and cross country skiing trails as well!
http://www.peninsulagolf.org/hole.asp?number=17The green has a nasty back to front slope and the hole is quite fun to play. No bunkers, but if you miss long like one might tend to on such a downhill hole, a 3 putt is almost guaranteed.