That is exactly what I did this past weekend! What a GREAT time; the first time in my TDI. The event is put on by the Boston chapter of the BMW Car Club of America. I went a few times when I had my 1989 325i. The event is held at Newfound Lake in Bristol, New Hampshire, sometimes as an alternate at Stinson Lake in Rumney, NH. The Boston BMWCCA are a great bunch of people. This is such a fun event and is open to BMWCCA and non-BMWCCA members alike. It is a VERY controlled, well run event. The emphasis is on safety and control. If you are interested in this type of event, take a look at Boston BMWCCA's Ice Racing webpage. Here are some pics from the event:
My little Golf TDI
The parking area on the ice
An E36 M3 taking a corner on the ice