I've played in the snow many times (i'm from toronto Canada)
It's great fun if you're prepared for it.
We played once in the middle of a heavy show storm, which was great, because when you hit the ground, you dissappeared into over a foot of fresh powder.
The other memorable time we played was just after a massive ice storm. Everything was covered in a half inch of ice, the tall grass, branches, twigs. All day the only thing you could hear was ice crackeling. At one point a branch broke, came cascading down with all the ice, and made a massive thundering noise
It was really fun, and if you ever get the chance to play in snow go for it.