I remember a few episodes about snow. Possibly the first one about snow was when Gordon bought a new snow shovel and was wondering if it would snow so he could use it. Big Bird was hoping it would snow for Gordon's sake.
In possibly the same episode, Big Bird makes a paper snowflake so they will have snow one way or another. Luckily, the real snow begins after he's finished.
In a surreal segment. One of the muppet characters (cannot remember who) is commenting on how snow flakes fall down and wondering if they ever fall up. Maria tells the muppet that such an occurrence is impossible. Then, when Maria is by herself, the snow flakes do in fact start falling up for a few seconds. A very confused Maria looks on in astonishment and then just shakes her head and goes inside.
In a skit designed to encourage creative expression in children, Big Bird builds a snow man upside-down. Maria comes along and shows him the "correct" way to build one by redoing his until it is rightside-up. A disenchanted Big Bird then says that he liked it better upside-down because it was "more fun that way." Maria realizes that she unwittingly made a major error and apologizes to Big Bird and reassures him that everyone has their own way of building snowmen. She then proceeds to help him put it back to the way it was.
I don't know if this skit was only shown during snow episodes, but Lefty tries to sell Ernie a snow man that is outdoors. As the sales pitch goes on, the sun comes out and snow man gets smaller and smaller. Lefty adjusts his sales pitch for the smaller size until at the very end, Lefty tries to sell Ernie "This little puddle of water."
In another street skit, an Anything Muppet is hired to shovel the snow off of a human's walkway, but all of the humans start asking him to do theirs first. The AM gets so overwhelmed that he starts yelling in anger. Oscar is impressed with his outbursts and commends him on being a Grouch. The AM explains that he's not a grouch, he just has too many sidewalks to shovel. He then ropes Oscar into doing some for him (I think by simply putting the shovel in his hands). An aggravated Oscar then reluctantly starts shoveling snow outside of Hoper's store and David rubs his eyes in disbelief at the sight.
Those are the only snow episodes I remember right now, unless you count the poor antenna reception our TV often received which made it look like it was snowing on Sesame Street all the time.