For winter camping, snow caves are superior to tents in almost every way—they're warmer, quieter, and more comfortable. Plus, unlike igloos, they’re super easy to make.
First, you'll need a decent shovel, something like Black Diamond’s nicely designed Deploy 7 Snow Shovel ($65). The trick is to find ground where you can dig horizontally instead of vertically. Look for drifted snow in the lee of boulders or against a hillside. In a pinch, you can even make your own snow drift by piling up snow. Let it settle, then start digging.
I also carry several smaller tools for shaping sleeping benches and fine-tuning the cave. A metal garden trowel works well, as does Sea to Summit's Pocket Trowel ($22).
Digging a snow cave usually means wet gloves. At the very least carry several spare pairs. You might also look into inexpensive Atlas vinyl gardening gloves. You can find them in nearly any garden center for $8, and they’re totally waterproof. When worn over a pair of glove liners, they make very good snow-digging gloves.
Once your cave is complete, punch a small hole in the roof for ventilation and cover the floor with self-inflating pads. Backcountry Access's Snow Saw ($34) will help you carve a bench for cookwear or a couple alcoves for lights and survival candles. Voila! A perfect den for a winter’s night.