The way I use to do shooting while it's snowing and I never stop for a bad weather to doing some nices shots..
I get a Kodak DX7590,not the best one,but better than nothing
I get s sport option on it,so I use it,bus the pitcure can be dark most of the time,but the almost only way to get clear shot
and after it cleared a bit more on photoshop,that giving this result
and I get also an option on it,with snow environment
and whitout modification,It give this result
and under a snow fall,never use automatic focusing,because,your picture will look like this,because the camera try to focus everywere
if you using automatic mode,the white of the snow could be to much
but by trting all mode on you camera,you should find wath's look better
here's one on a freezy day,one of my favorite
and another thing,don't let you camera get frozen,by keeping it inside your coat while waiting for the trains,leave the camera out in a cold temperature can harm it or make it unusable...
even by shootin videos'
here a preview of wath you can have like result,but not very good for the camera,for this video,I use a old super8 camra..
http://www.youtube.com/watch?v=QoxbKVlxscE