Frosted Cavern. It was a bit of a ways from their home base, but it wasn't a particularly dangerous dungeon. Located near the northern sea, it was a cave that tunneled down into the earth, and some say it even delved below the ocean floor.
It looked the part too. The area around it was all a snowy wasteland--- beautiful, but devoid of life as far as the eye could see. Their footprints left marks in the otherwise unblemished snow, and Nico could see his own breath coming out in plumes.