Lesson 1: it’s wet. It is, in fact, made out of water, which is that thing, if you’ll remember, that doesn’t mix with oil. Which doesn’t come into account for most people frolicking in the snow, but if you’re trying to get your oil paint to stick to a damp canvas, using damp brushes, you’ll remember it real quick.
Lesson 2: it accumulates. The lovely, lilting snowflakes that are sticking to your eyelashes are also piling up in your painting bag – covering your supplies in a lovely white drift that in the warmth of your car will turn back into (refer to lesson 1) water! And everything you own will be wet. Because snow is wet. Check.
Lesson 3: it’s gritty. When it isn’t melting and making your easel and your brushes and your paint wet, snow is crystalline. Which means when it floats onto your still-wet canvas, it will stay there. And it will feel like you’re painting with gravel in your brush. It will make a cool texture when it finally evaporates and the paint dries, but until that happens, you’ll have a time trying to find your painting under the ever accumulating layers of ice.
I’ve read a lot of books on outdoor painting and none of them adequately prepared me for all that, probably because the authors had better sense than to try and paint while it was still precipitating.