One of the more extreme festivals in Norway is the Finsejazz. It starts off next weekend, and the place is situated 1222 meters above sea level. The 2008 Finsejazz is sold out, but if you have the taste for skiing, snow storms and a frozen nose with your jazz (and money to spend), you may consider this festival next year! The tourist version of the place here.
Added 27 January: See a picture of Swedish bass player Torbjörn Zetterberg here.