Interesting from a wild weather perspective in terms of snow and storms. I would say it is Reykjavik. While its Winter months aren't exceptionally cold like Moscow and Helsinki.
In terms of snowfall and windstorms I would think the average winter is more interesting. Moscow and Helsinki would have more days with snow on the ground but their climate would be more settled, calm and in the freezer type of set up.
If you had to choose to spend a Winter season in a European city based entirely off climatic conditions, Where would you choose and why? Also if you feel any European city better meets the criteria that I used for choosing Reykjavik please share.