The Pfaffikersee freezes thick enough for skating about 1 year in 10. It's a fairly big event when this happens - the last time was 2002 (and apparently 2006 as Nicky states below - I wasn't in the country for February this year). The Zurisee freezes oevr about one year in 50 - the last time was 1964. This would be by February. As you might expect here, it is only after careful checking by those responsible that the public are allowed onto frozen lakes.

An alternative is seasonal outdoor ice rinks like the Dolder in Zurich and Brand in Thalwil.