Insure and go usually come out cheapest for us, although that's for annual multi trip. If you're just after basic coverage you can't go wrong with using a comparison site with the winter sports add on selected. If you want very comprehensive cover, ski club of great britain is worth a look, but much more expensive (more specialist for off piste, snowparks etc). Another alternative if you are going to France is basic travel insurance for your journey and accommodation, and add on carte neige to your ski pass (about 3euro a day iirc) which covers you for injuries, piste closure etc. Don't forget your EHIC if going to Europe too.
Have fun, very jealous as we can't go this year with baby on the way!
We get winter sports cover included on our credit card insurance, what's more it covers DH and me plus up to five people travelling with us on the same arrangements. Very useful for our family trips. Handily, there is no upper age limit so we pensioners are covered. The only trouble is it is no longer available for new cardhoders, and I fear this will progress to its complete withdrawal.