Ratzkifal wrote: »

The vampires with the strongest ties to ice are the Volkihar vampires of Skyrim. Yes, the ones from the Dawnguard DLC.
Although it's not shown in the game, the books on vampire clans mention that the Volkihar's special ability is to be able to move through ice without breaking it, which they use to attack people trying to cross frozen lakes from below, although I'm certain they can make great use of Skyrim's glaciers in a similar fashion. This is as close to frost damage as you will get with lore descriptions.

As for ice damage sets, these are all available options:

• Ice Heart (Direfrost Keep Monster set),
• Elemental Succession (Maelstrom Arena),
• Icy Conjuror (Frostvault),
• Winterborn (Maelstrom Arena),
• Ysgramor's Birthright (the Rift).
• All sets that increase spell damage and spell crit. Recommending False God's Devotion.

Out of those sets Icy Conjuror and Elemental Succession are probably the best but both are not easy to get. Winterborn sounds better than it actually is (tiny radius) and Ysgramor's Birthright is just a weaker version of Elemental Succession. Ice Heart is outside the competition for being a monster set and the only frost related option.
Regular stat boosting is probably your best bet to deal good damage since all spell damage and critical will increase your frost damage at the end of the day. I am highlighting False God's Devotion because as a vampire you will run into some sustain trouble.

Honorable Mention: Ice Furnace (Direfrost Keep) is actually a decent proc for a frost warden in PvP despite its low tooltip due to it firing whenever you deal ice damage on a 1s cooldown in an area, which you can increase through the use of a Lightning staff and Malacath's band of brutality, however it deals fire damage on an ice build, so it kind of goes against the theme. It is also heavy armor which might not be what you are looking for.

There are some ice-themed support options too, like Frozen Watcher and Winter's Respite.