Our golden retriever thought snow was God's special gift to HIM. Would roll in it, tunnel under it, and generally have a blast. His very favorite was catching snow balls - so that no matter what time of year it was, if we yelled "Snowball!" he'd dash to the door and spin.
Only bad side of an afternoon of catching snowballs was that after we came in, he would need to pee about every 10 minutes...