I do the Mausoleum and use Orb because its fast, but yup there are other areas too. By accident, I found a Stormshield in Tristram, so I run there too. It ain't level 85, but I wouldn't mind another Stormshield and cold it beautiful there too (it's fast too)
as well as the mausoleum which i like because it's easy to find, the ancient tunnels under the lost city in act 2 have no cold immunes i believe. but it's pain to find, so i usually stick to the mausoleum.