I have friends who went to Yellowstone one Christmas break and rented snowmobiles to ride around inside the park. They had fun and said it was pretty with all the snow. But you can't get too far, probably, on a snowmobile's tank of gas, so your range in the park would be limited. And I doubt you'd want to do that for more than one or two days.
Along the I-40 route, you might detour to Santa Fe and see some of the artsy shops there. In OK, Red Rock Canyon SP is an interesting place to camp because it's down in the canyon with the reddish walls all around. In AR, I'd recommend Petit Jean SP (S. off the x-way between Morrilton and Russellville) for its high overlooks, cave, waterfall (probably dry now though) and "turtle rocks"... oh, and there's a nice playground, too.