U.S. Army Survival Manual FM 21-76 recommends:
From Ch.5-Basic Shelter
Tree-Pit Snow Shelter:
If you are in a cold, snow-covered area where evergreen trees grow and
you have a digging tool, you can make a tree-pit shelter.
To make this shelter—
Find a tree with bushy branches that provides overhead cover.
Dig out the snow around the tree trunk until you reach the depth
and diameter you desire, or until you reach the ground.
Pack the snow around the top and the inside of the hole to provide
support.
Find and cut other evergreen boughs. Place them over the top of the
pit to give you additional overhead cover. Place evergreen boughs in
the bottom of the pit for insulation.
And then from Ch.15 the Cold-Weather Survival section:
Snow Cave Shelter
The snow cave shelter is a most effective shelter because
of the insulating qualities of snow. Remember that it takes time and energy
to build and that you will get wet while building it. First, you need
to find a drift about 3 meters deep into which you can dig. While building
this shelter, keep the roof arched for strength and to allow melted
snow to drain down the sides. Build the sleeping platform higher than
the entrance. Separate the sleeping platform from the snow cave’s walls
or dig a small trench between the platform and the wall. This platform
will prevent the melting snow from wetting you and your equipment.
This construction is especially important if you have a good source of
heat in the snow cave. Ensure the roof is high enough so that you can sit
up on the sleeping platform. Block the entrance with a snow block or
other material and use the lower entrance area for cooking. The walls
and ceiling should be at least 30 centimeters thick. Install a ventilation
shaft. If you do not have a drift large enough to build a snow cave, you
can make a variation of it by piling snow into a mound large enough to
dig out.
Snow Trench Shelter
The idea behind this shelter is to get you below the snow
and wind level and use the snow’s insulating qualities. If you are in an
area of compacted snow, cut snow blocks and use them as overhead
cover. If not, you can use a poncho or other material. Build only one
entrance and use a snow block or rucksack as a door.
Snow Block and Parachute Shelter
Use snow blocks for the sides and parachute material for overhead
cover. If snowfall is heavy, you will have to clear snow
from the top at regular intervals to prevent the collapse of the parachute
material.
Snow House or Igloo
In certain areas, the natives frequently use this type of shelter as hunting and fishing shelters. They are efficient shelters but
require some practice to make them properly. Also, you must be in an
area that is suitable for cutting snow blocks and have the equipment
to cut them (snow saw or knife).
Lean-To Shelter
Construct this shelter in the same manner as for other environments;
however, pile snow around the sides for insulation.
Fallen Tree Shelter
To build this shelter, find a fallen tree and dig out the snow underneath
it. The snow will not be deep under the tree. If you must
remove branches from the inside, use them to line the floor.
Tree-Pit Shelter
Dig snow out from under a suitable large tree. It will not be as deep
near the base of the tree. Use the cut branches to line the shelter. Use
a ground sheet as overhead cover to prevent snow from falling off the
tree into the shelter. If built properly, you can have 360-degree visibility.
...
That enough for ya'?
To see the full document with illustrations:
http://www.equipped.com/fm21-76.htm