Winter (December–April) is the main season. Snow is generally reliable above 2,000 m and the ski season runs from late November to mid-April. January is peak month — and also when the World Economic Forum descends, turning the town into a security operation for a week. If you're not attending Davos, avoid that week. The Spengler Cup ice hockey tournament runs between Christmas and New Year.
Summer (June–September) is excellent and underrated. The mountains are green, the trails are open, and prices drop significantly. Lake Davos warms enough for swimming by July. Summer is the quietest time and arguably the best for those who want the landscapes without the crowds.
Shoulder seasons (May, October–November) are quiet and some mountain facilities close. Good for a peaceful walk but not the full experience.