A great train trip is from Zurich to Vienna. Some stunning mountain scenery en-route. If you don't want to go that far, you can stop at Salzburg (quite beautiful in its own right), and then go to Munich from there. Lots of ski resorts along the way, if you want exercise. I prefer the Austrian alps over Switzerland (less developed, less crowded and more natural), however the organization of the swiss mountain resorts is rather astonishing.