Snow is an ideal mulch not only because of its superior insulation abilities, but also because it provides water to plants when they need it most, and it allows light through, so some tough perennials can commence growth in the spring before the snow has even melted. It also applies and removes itself, which saves labour, and is free.
Of course, snow is not always reliable in some regions, so another mulch, such as fallen leaves, wood chips, shredded bark or compost can be applied "just in case". Care should also be used if you pile snow on shrubs, as the heavy snow can easily break branches. And never, never, ever pile snow on your plants if it has ice-melting salt in it, or you'll have a very brown garden in the spring.