Self-Reliance Handbook/Snow Shelter Construction

General techniques
Snow is a great insulator. Provide for some ventilation. Let it freeze once overnight before using if possible.

Quin-zhee
One of the easiest ways to make a shelter in the snow is too just make a big pile of snow make sure it is compacted some and then dig into it. Yes, yes it is!

Links
http://www.princeton.edu/~oa/winter/wintshel.shtml