Here's my take on your ideas:
I liked Madrid a lot - more than many here seem to. If you like large dynamic cities, fantastic art, and interesting neighborhoods, it's great. If (like Brad) you want "Olde Europe," go elsewhere.
Paris is great any time. I was actually there in February 1999; I just brought a winter coat, and it wasn't my first visit, so it was fine. But I wouldn't have wanted that to be my first visit - too much of the beauty is just not visible in the winter. I wouldn't have known what I was missing, but I'm not sure I would have fallen in love with Paris if my first visit was in the winter.
I don't know about Amsterdam in February. In April 2012 it was a nice mix of sun and clouds, and about 55-60 degrees F, but with its 1000% humidity I was always cold. In September 1989 it was grey, grey, grey. It's an interesting city with lots to do indoors. Just watch out for the bikes.
Unless you're interested in its museums or in the great Art Nouveau tour with ARAU http://www.arau.org/en, Brussels to me was a snooze, regardless of the weather.
Stockholm was lovely - in July. I can't imagine going in February with the short days. I know much of Europe is farther north than the US, but Stockholm is extreme.
I actually liked Frankfurt more than most seem to. Lots of interesting museums, lots of energy and dynamism. I'm not sure how many days I would spend there, but I enjoyed my two days there and would certainly return. Like Madrid, however, if you're looking for "Olde Europe," go elsewhere - you'll hate it.
I wasn't as taken with Hamburg as others are. It's OK, but nothing special.
I've never been to Zurich or Iceland.