Mention ski mountaineering in Valtellina and the following peaks spring to mind: Gran Zebrù, San Matteo, and Cima Piazzi.
Make sure you're fully prepared to take on challenging routes like these and go in the spring, when conditions are at their best.
Check the Bormio weather report, the difficulty of the route and ensure you have the necessary equipment. Or even better, go with a local Alpine Guide and enjoy an incredible experience.