I've done winter camping and yes, in a snow cave even. I really don't recommend it, but to come into a snow cave from a nasty, windy, cold day that has sleet feeling like broken razor blades against your skin can be pure heaven. Why it might be a balmy 40 F in there! -- you want to strip to your skin and cool off!

Yeah, I've done it. But I'd rather have a hot ruttered bum by a fireplace and watch the snow fall outside the window.

Granted, I do have cross-country skis and all....