Living here, I suppose I can say that I know both Milan and the Valle d'Aosta reasonably well. I wouldn't have thought of tying the two places together on a trip though. Valle d'Aosta always strike me as a bit of a grey place - even when it's covered in snow, it remains very grey in feel.
Are you looking for decent skiing, or sightseeing, or hill walking or even mountaineering? For a nice trip out, head for Como. Lovely views of the mountains as well as a lovely place - less than an hour from Milan by train (Aosta is 185kms from Milan, by the way, getting on for the same distance as Venice).
For mountain walking or climbing, head for Monte Rosa and on into Switzerland to the Matterhorn, etc. Skiing would need a bit more planning and the choice of resort would depend on your depth of pocket more than anything else.
If you have a more clear idea of what you want, say - but I wouldn't bother with Valle d'Aosta at all - unless you are heading for France and drive through it.