Snow is a good insulator due to the crystalline structure of the snow flakes themselves. Snow flakes are very complex in structure, with many hallow areas in the structure in which air gets trapped. Air itself has the ability to get very very cold, while ice (snow flakes) typically can only reach a temperature of 0 celcius. Because the ice only drops to 0, and doesn't get much colder than that, the air that gets trapped in the hallow areas will stay around the same temperature as the ice. Thus, the temperature of the air inside the ice stays at a higher temperature than the surrounding air. Thus, if you make a hallowed out area inside a snow bank, the average air temperature will not drop below 0. If you fill the space with the a warm body (such as a human) then the bodies heat is only trying to raise the temperature from 0, not something like -40 or -50 depending on the wind chill and other factors. Interesting factoid: Snow flakes are said to exist in 1.4 or 1.6 dimensions. This is because they are the closest known object to a mobius strip. The crystalline structure is so intricate that is difficult to say that a snow flake has any "sides", but is instead more of a one dimensional line wrapped around itself in a three dimensional world. The only way we can see the structure of a snow flake is by observing the air packets trapped inside.

Snow makes a good insulator because of the intricate shapes of the flakes. These shapes trap air in between the flakes as they pile up. These tiny pockets of air prevent air from circulating, thus preventing heat from being transferred by convection. Additionally, ice is a poor conductor of heat. (This is why ice cracks when you put it into a warm drink.) These two factors help to prevent heat from moving through snow. Another poster here wrote some things that I think need to be clarified. The freezing point of water is 0 degrees Celsius. As long as you have both liquid and solid water present, you will not be able to get the temperature to change from this as you either freeze or melt the water. However, once you have complete frozen the water, the temperature can and will go much lower if the ambient temperature is much lower than 0*. The second misconception is that you can heat a snow shelter to a temperature significantly above 0 degrees Celsius. While I have never actually built or occupied a snow shelter, the physics of ice cause me to question this assertion. First of all, you would not want to heat such a shelter to above 0 degrees. Since this is the freezing point of water, heating a snow shelter to above this temperature would cause it to start to melt, getting everything in it wet. The warmer you got the air, inside, the faster the snow would melt. Also, melting ice requires a lot of heat. So, as the snow melts, it will absorb excess heat out of the air inside pulling the temperature back toward 0 degrees. Therefore, while a snow shelter could protect you from severe cold outside, you still would not be heating the inside to much above 0 degrees. *Factoid: You can't ice skate in Antarctica because the ice is too cold. When a person ice skates, all of his weight is transferred to the ice by two thin blades. This puts pressure on the ice. This pressure causes the ice under the blades to melt and the skater slides along on a thin layer of water. In Antarctica, the temperature is so low that the weight of a human in ice skates is not sufficient to cause melting. Therefore, the skates have no layer of water on which to slide.