As long as you are careful about the footing you are in (ice, clumpy snow, etc) you should be fine...
I used to train a friend's horses each spring. I liked doing those first few rides when there was still snow on the ground in case they went bronc on me (none ever did, but atleast there was a cushion if they had...LOL!!!).
The advantage to the snow will also mean they have to learn from the start to pay attention to where their feet are going.
It will really come down to your preference though...you will probably get alot of different opinions.
"The ideal horseman has the courage of a lion, the patience of a saint, and the hands of a woman..."