I'd pretty much do what you did, say thank you, but you enjoy the exercise shoveling snow gives you.

I wouldn't accept it if I wasn't going to use it or just sell/donate it, as then the snowblower becomes your problem to deal with. And the neighbor might also be annoyed you didn't keep it.

There's no "right" answer to this conundrum, as it appears the neighbor never considered that his "gift" might not be accepted.... That's more of his issue and not something you should feel obligated about.