Here in Michigan, I have played a great deal of winter golf, but not once did it occur to me to play a ball off a frozen lake. This is why. Ice is treacherous, and something like this puts you in contention for a Darwin Award. The dangers of winter golf are not to be underestimated.
I have, however, taken full advantage of frozen lakes. At the Washtenaw Country Club, the short par four sixteenth has a lake fronting the green. On a summer day, the play is to lay up well short of the pond, then lob a ball into the green with a wedge. During one winter round, I hit a driver off the tee, figuring that the combined effect of cold equipment and restricted movement from my parka would still leave me well short of the pond. I was wrong. The ball flew right to the edge of the water, hit ice, then skipped across the surface to the green. One putt. Eagle.