I've managed to visit all Canadian territories over the years in the winter on flight passes and AP awards.
Personally, my favourite is Whitehouse for a bit of everything: forests, lakes, mountains and various organized winter activities including aurora viewing. you can also cross the border to Alaska.
For northern lights, Yellowknife is the best option - I've been there 4 different weekends and saw the aurora 3 out of 4. They have purposely built Aurora Village (better) and Aurora World - mainly cater to bus loads of Japanese tourists but everyone can go. I'd recommend Explorer hotel (nicer) and Yellowknife Inn (conveniently connected a mall and probably the only night club in town - crowded with workers from nearby mines looking for some fun for the weekend...)
YFB is ok but i found the town a bit boring. Frobisher Inn is the best option in Iqaluit - also connected to the only movie theatre and pub in town. Nearby town Apex has a cemetery with whale bone statue - good for some shots at sunset or at night with aurora. If you want to get out of the town to the floe edge, you need to rent a snowmobile; i'd definitely get a guide for safety...
As someone mentioned, you can fly from Winnipeg to Churchill in Oct/Nov to see the polar bears before the bay freezes. you can still redeem calm air flights using AP.