Fill small squirt bottles (think like the condiment bottles in restaraunts) with water and food coloring or small amounts of paint and shake. Go outside and squirt in the snow to make pretty patterns.
These aren't actually made of snow. Fill baloons with water and food coloring and freeze. When they're fully frozen cut/tear the balloon off and take outside to decorate the yard.
The Snow Fort:
Everyone has their own method to do this. I like two methods. The hard way being to pack the snow into block or brick type shapes and stack them, if you're strong enough you can make huge bricks by packing the snow into a cooler and then flipping to lay out the block. Or the easy way, continuing to pile and pack snow until you have walls, cover in something flat and then pile more snow on top of that. You could also paint the snow with a spray bottle and "snow paint".
Everyone loves a snowball fight! It's even better when you have forts to hide in and pelt each other. Playing capture the flag is also an awesome game to play in the forts using snowballs as ammo.
Build a Snowman:
This is another classic! You could go anywhere with this, even snow sculptures depending on your creativity. Basically a snowman is two or three balls of packed snow stacked on top of each other, the top one being the head and the largest being on the bottom. You can use any thing to decorate your snowman. I'll make a post about that.
To make a snow angel you lay flat in the snow with your arms and legs laying out and then you move them back and forth, much like a jumping jack. When you stand your imprint in the snow will resemble an angel.
Sleds can range from free to cheap to there-is-no-way-I'm-paying that much at a lot of stores. Free options are laying around your home already. My brother and I have used pool floaties, trash can lids and pieces of cardboard.
Shake a Tree:
Laugh all you want, but this is fun. Stand under a small tree (deciduous trees work best), grab the trunk or a limb, and shake it as hard as you can.
This is my all time favorite thing to do, snow cream is delicious! Here's the recipe.
1 gallon snow