The forecast is for another severe winter this year (UK) so get ready to grab your camera and head out into the cold :-)
Set your exposure compensation to +1 or even +2 stops of exposure. The reason for this is that your camera will try and expose the scene 'correctly' and average the picture to grey. Snow is white and therefore the camera must be told to over expose the scene. This is counter intuitive but necessary.
When moving between the cold outside and warm home or from a warm home to the cold. It is an idea to seal the camera in a zip-lock bag or similar and allow it to acclimatise. This will prevent fogging of the lens or worse fogging of the sensor itself.
Snow is wet. Protect your camera unless you have a fancy weather sealed model such as a Canon 1ds or Nikon D700 or D3
Watch out for snow balls!