Startling lack of mentions of Minneapolis and Chicago[1]! Minneapolis has an extensive "Skyway" at the ~third story of a bunch of downtown buildings. It's kinda one extensive mall, but also makes it possible to meander without freezing. I interviewed once many years ago during November-ish and it was quite lovely. It's the closest to cinematic urban cyberpunk vibes I've felt in the "real world", where you've got throngs of people transiting an enclosed space with food vendors and shops and a backdrop of terrible, terrible weather.

Chicago also has an underground system ("the Pedway") that's also mall-ish, but it's in fairly crap condition. It's got incredible liminal vibes, but is not the most pleasant to exist in.

[1]: To be fair, a commenter did mention Minneapolis

Calgary also has a pretty extensive Skyway designed to avoid going outside during the frigid winters.