Take a small avalanche shovel and build a quinzee(sp?).
Pile snow up about 5-6 feet high and about 12 or 14 feet long and 8 to 10 feet wide. Leave it alone for two hours so the surface snow sets. Then from the long end, start digging! Dig into the center and start hollowing out your little hill. Do the digging part in the daylight if you can, cause it's easier to tell when it's thin enough. The top third should be 4-6 inches thick at most, and the lower portion can stay thick. Once you can see daylight through the snow, you are done! Use the handle of the shovel or a knife to poke several 2-3" diameter holes about half way up the walls, for airflow. If you have some sort of tubes, you can rig them to face down on the outside so they don't fill up if it snows. Ventilation is crucial, but you also need to minimze wind. Try to keep the entrance as low as possible, to keep heat loss down to a minimum. One you've tried this a couple times, start experimenting. I like to pile mine up even bigger, then I build the floor up till it is higher than the entrance, using the snow from above as I dig. You can make elaborate platforms, cubby holes and shelves for boots and gear, etc., all out of snow. For bedding, I use spruce bows if available, and my therma-rest, then my sleeping bag on top. For winter backpacking I have a Western Mountaineering down mummy bag, and for ski doo trips, a heavier Woods Five-Star down bag.
Light and warmth are provided by candle lanterns, preferably two, 3-candles-in-one models.
On the inside of you entrance, cram your packs into the doorway at night to prevent wind from coming in, but do not cover the door up entirely, so you don't wake up dead.
These are best for longer trips due to the time involved, 1/2 hour to pile snow, 2 hours waiting, 1 hour digging and remodelling, but they are fun enough for even one nighters.
These are very warm shelters, and anyone can build one. Since I learned how to do it, I stopped taking my tent. (I ALWAYS bring a good, roomy bivy sack, just in case!)
Jet
Hope this helps