I too have heard the warning about eating snow and lowering body temperature. I can't find it unfortunately, but I also once read something a vet wrote about treating cases of GI stasis resulting from snow eating (as jazzywoo wrote, body shut down, etc).
Not just that, but I've also heard snow is full of toxins -- all the **** in our environment ends up concentrated in the snow, or something. No one should be eating it!