Vaujany has a big outdoor one. It also has nice swimming pool and ice rink and is pretty well-equipped all round for a small place. Well-connected to the big Alpe d'Huez ski area without the madness of Alpe d'Huex itself.
What sort of skiing are you looking for? If it were me and I wanted to be on the piste or cross country, I'd go to Oberstdorf on the German/Austrian border.
Bucketloads of skiing on different levels, cross country, winter via ferrata, decent wall and you're only an hour or so away from Innsbruck and Garmisch so bucketloads of winter mountaineering as well.
The town itself is small but really good and they always have the hill jumping there, excellent atmosphere and if you haven't any transport, fly to Munich and the train drops you right in the town.
Great place and underated probably because it doesn't have the kudos of big mountain resorts and your mates won't know where it is!