In the seventies, Sesame would often have a week of shows where it would snow on the street. It was always something fun to look forward too.
Phil beat me to it.
This was before my time, obviously, but I understand they would do a week's worth of shows where it was snowing (and I'm assuming those episodes would timely air sometime in December or January).
Clip-wise, I don't think there's anything on YouTube, but there ARE plenty of photographs and still shots from these episodes: there's the classic Ernie and Bert peering out of Gordon and Susan's window with snow on the sill, I've seen pictures of Susan and some kids building a snowman next to Oscar's can (to his chagrin, obviously), Big Bird on the phone from his snow-covered nest, and the 40th anniversary book has a panoramic shot of the set covered in sno with Luis in the Arbor, and Big Bird with some kids on the stoop.
Oscar said in a magazine it doesnt' snow much anymore on the street because it's "too expensive", but I can see why that is: in recent years, the set moved into a larger studio, and was spread out a bit more, meaning, there was a lot more ground and surfaces to cover with fake snow, as opposed to during the 70s and 80s when the set was in cramped little studios, resulting in less grounds to cover. It's really evident too: CEOSST has plenty of snow everywhere, ESC looks as if people had been shoveling a lot, because there's really only snowbanks instead of really good coverage, and the EW special "Happy Holidays" saw hardly any snow on the ground at all.
A Sesame Street Christmas Carol did see a bit more snow, but somehow, it didn't really look like fake snow covering the ground so much as it did perhaps like a layer of some kind of glittery mold or something.