This is a fun game to get your dog to have fun in the snow and is a great game to play with your dog. My dog gets board being outside after a few minutes so I started this game with him. There are two ways to play this game which will be explained.

Need:
1 Dog
A bunch of dog treats
Fenced in Area
Dressed for the weather (you and your dog :)

Step 1: Treats

Get good smelling treats!!!!!

Break treats up into smaller parts if you have a smaller dog. (Or if your dog is really good at the game.)

Step 2: Go Outside - Fenced in Yard

Go outside in a safe place to have your dog off leash. I use my fenced in yard. A dog park may work but be careful throwing treats around dogs encase they have food aggression. You can play this with multiple dogs but make sure they are not food aggressive.

If you do not have a fenced in area, a training leash (20'+) would work well in a safe place to play this game. By safe place I mean a field or park not next to a major road or open holes, etc.

Step 3: Game One - Throw and Find

This is the game I play with my dog because he is not talented enough to play game two.

I throw three treats in the snow and then let him find them. Once he has found all three I'll throw three more.

Longer fenced in yard game: When I am shoveling snow and want to keep him entertained I'll throw a handful of treats in the snow. I pick one area of the yard to throw these in. Con: After the game is over he will keep looking for treats every time he is let out (i.e. 4 AM potty time is now a hour look for treats time) so have a very good recall and better treats to entice your dog back into the house.

Step 4: Game Two - Throw and Return

This is a game for a good retriever, I would play it with my previous dog. My current dog does not follow the path of the treat (even when it is 2" from his nose) so I play game one with him.

This is just like throwing a tennis ball only they run after the treat eat it and return for you to throw another treat.

This is how I played the game with my previous dog:
Have you dog ready to retrieve I had mine healing next to me.
Throw the treat
Start with throwing the treat very short distances then throw the treat father and father.
If your dog does not return call to have the dog return to you. (When dog returns lots of praise and a treat)
Have your dog do a "trick" (down, sit, ask nicely, etc)
Throw the treat for them to get
Repeat for as long as you like or one (or both) is tired or cold.