In a cold weather setting during a survival situation, building a snow shelter is one way to ensure you can make it through the night in relative comfort and warmth.

You have to build your shelter carefully to ensure it is structurally sound, but as long as you do that, you body heat will quickly warm up the shelter and help you avoid the cold.

Personally, a snow shelter would be the last resort for most people stuck in a winter survival situation; if you had no other options it is a viable shelter solution, but you mainly are cut off from your surroundings while inside the shelter.

As a last resort, however, it is a relatively easy way to ensure that you can make it through a cold night, you just have to make sure it is structurally viable for human habitation.