Snow is a very good insulator that keeps heat in and the cold out. Snow also is a very effective windbreak – if your shelter is constructed so that the snow you use doesn’t blow away in the wind.
Quinzee: Fairly quick to build but does require a fair amount of energy to construct. Build an A-frame shelter out of sticks and bows, cover with a good 3 feet of snow, build a door to plug the open end and you are good to go. No sticks or branches available, build a big pile of snow, allow the snow to settle and compress and then hollow out the pile to create a cavity that is uniform and at least 12 inches thick all around and voila a quinzee shelter. The actual techniques to build this type of shelter can be found elsewhere with the use of a search engine so I wont detail them here.
Snow cave: Find a suitable location, usually on the leeward side of a small hill or natural rise in the landscape where snow drifts tend to form. Dig into the drift creating a hollow and you have a snow cave. Remember digging into the snow drifts created by the plows at the end of the driveway as a kid? Same idea here. Digging caves requires a lot of energy and usually results in a lot of sweating – not good in cold weather. Having several people on hand to take turns digging and wiping snow off of clothing is usually a good idea when considering to build a snow cave. If you take your time though and take lots of breaks to prevent over heating, a snow cave can be an effective shelter option for a single person. Finding a suitable location however, is often a hit or miss proposition. Snow caves in areas where the snow is not really deep enough will limit their insulating properties and result in you being colder than you would prefer.
Igloo: By far the best option for all around protection from the elements. It is possible to build snow blocks from just about any type of snow that is available. Using a mould to pack the snow into the right size and shape makes building a top quality igloo anywhere just what a survivalist (or your kids in the back yard) needs. Using a snow mold allows even a novice winter architect to construct an adequate shelter in as little as four hours. An igloo is a very sturdy shelter that can last for months and gets better with every snowfall. People who have built a few igloos can accomplish the task in 2 to 3 hours. A uniform shape maximizes stability and insulation and wind stopping power. Temperatures inside an igloo often hover in the 3C to 5C degree range with the addition of body heat and a small candle/flame.
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