This was fun, but it would be more fun if I had a die cut for the scalloped circles; I have a couple of punches, just not large enough. (Just in case you're worried, I've just ordered the dies!)
The stamp set is Thankful Forest Friends from Stampin' Up! The paper is an ancient Stampin' Up! designer series paper but I have no recollection of what it is called.
Tanya Bell has nice printable directions if you click though (PDF). I used these.
If you're more of a visual learner, Julie Davison has a video here, although she doesn't stamp the middle. (Cheater)
This is a fun alternative--a snowman.
If you're a steampunk fan, Sari Hanninen has an alternative for you. (In a Swedish accent.)
Betsy Gully shows you don't have to use circles.