St. Moritz!
I don’t know what’s going on with the kosher hotel there, though. Some say it closed. (Hotel Edelweiss, it’s called.)
I spent altogether 7 months in the area of St. Moritz (the area called Engadine), and many more weeks around the rest of Graubunden (Grisons), the canton in which all of these places lie, in both winter and summer.
Going again this summer, first time with my wife in summer (we went in winter 3 years ago, that was her first time there). Haven’t been there as much in recent years as I used to, since the cost is pretty high, but – IT’S WORTH IT!
Now, if you would not want to consider St. Moritz (and I strongly recommend you should consider it!), I would go for Davos over Arosa. Arosa is a bit isolated, at the end of a valley. There is only one way out, and the town itself is pretty small, so I think it would be a bit limiting. I have never been to Arosa, for that reason.
Davos is a bit better – a lot better, actually.
Now, the special thing about the Engadine (St. Moritz area) is the altitude. The bottom of the valley lies at circa 1700m / 5600 ft and remains at that altitude for a length of circa 30 km (18 miles), with numerous towns in there and dozens of side valleys. In some place, the valley gets up to a mile wide (especially the central triangle around Celerina, Pontresina and Samedan); this is absolutely unique, to have such an high valley which is so flat and wide, with a huge plateau. If you walk into the mountains, you get above the tree line within about an hour, because you’re already quite high.
The different side valleys of the Engadine each have their own characteristics, so do each of the towns. I know each of them very well.
Public transportation in the Engadine is amazing, really good, there are frequent buses and trains day and night (every 15 or every 30 minutes between the ‘major’ towns). There are pretty cheap guest tickets (“Gaste-Abo”) you can buy for unlimited travel around the Upper Engadine for 3, 7, 14 or 21 days – I always buy those.
Altogether, my absolute recommendation is for the St. Moritz area; second, Davos, third, Arosa.
And, if you were considering renting a car – don’t! The train ride from Zurich to Chur (the entrance of the Graubunden / Grisons canton) is so amazing, you shouldn’t miss that. The train goes along the banks of the Zurichersee (Zurich lake) and Walensee (another beautiful lake), literally just a few meters from the water, for half the journey. The trains are very fast and comfortable, and punctual. Then in Chur (or, for Davos, maybe in Landquart, a stop earlier) you switch to a small red train from a smaller company (actually the second-largest, and largest private railway company) of Switzerland, the RhB – Rhatische Bahn (Rhaetian Railways). Rhaetia is an old alternative name for Graubunden / Grisons. The RhB has an extensive network all throughout the area. Their trains are huge tourist attractions themselves. If you go to Davos, I strongly recommend *not* switching trains at Landquart and going to Davos from there; instead, go to Chur, take the train towards St. Moritz from there until Filisur (at the entrance of the Davos valley area), and a train to Davos from there. Much more beautiful journey. The one to St. Moritz, all the way, is even better though.
Any more questions, let me know!