Depends what you want to do.
For Spain, try Southern Spain - Andalucia. See
http://looklex.com/spain/index.htm
Winter is the only time the heat and the hordes of tourist don't try to kill you in this area.
In Italy Sicily is supposed to be nice in winter, but you might run into lots of rain, so it is a bit of hit and miss. There is not a lot of tourism in Sicily to start with (compared to Northern Italy), and in winter it will ultra-low season. The big selling point of Sicily at this time of the year is the possible combination of sunshine, 20 C and 0 C and snow higher up the mountains.
If that is not what you want, hit the normal tourist circuit with Rome, Florence and Venice. I've seen pictures of Venice in the snow, they were very pretty.
EDIT: Just saw that you are from India. I think almost every place in Europe will feel cold to you. Also you'll want to avoid the rain you might run into in Southern Spain or Sicily. Unlike the Monsoon in India this is cold rain, and personally I would much rather deal with -5 C and sunshine than with +5 C and rain. Cold weather is relatively easy to handle, but cold wet weather is a killer.
If you have never been to Europe before, check out Germany and Austria. Go to one of the Christmas markets. I can really recommend Salzburg at the border between Austria and Germany.
[ Edit: Edited on Nov 1, 2008, at 5:07 PM by t_maia ]