Plenty of resorts around Salzburg, but no really world class ones. Bad Gastein isn't bad but hardly on the same level as the others mentioned here.
Zermatt has fantastic scenery, skiing, efficiency, and is very pretty, but tends to attract those that think a wild night is a second bottle of montrachet.... A ski snobs heaven!
If I was spending that sort of cash then it'd go on a Collineige chalet in Chamonix and helicopter transfers from Geneva (c.£60 each way p.p./25 mins: companies: CMBH/vachoux).
I'm sure you'll have fun either way.
Cheers,
ali