The horse the I just got came shod with borium studs. He is better traction on the snow than my barefoot horses, and he has rubber under the shoes that keep out the snow.
Depending on the humidity outside and consistency of snow, my barefoot horses even get really bad snowballs sometimes. I just use a snowball hammer/pick that my farrier made for me, and tap them out...though they often form right away again. The Pam or vaseline sound like a good idea.
If you are going to have shoes on in the winter, you might consider having rubber pads put in to lower your day to day maintenance. TJ (the new guy) is really easy because of the rubber pads.