Creating snow system

1. Create a snow texture
2. Set up an emitter over the area that you want snow (can probably get away with just around the player) Ellipsoid or mesh is fine.
3. Set the energy of the particle to something like 10 so it has enough time to drift down, later we'll kill the particle as soon as it hits something so don't worry about too many particles.
4. Set the world velocity to something like (0,-1,0) to make it fall downwards, add a bit of randomness to it if you want the snow to drift randomly, generally they all tend to fall in roughly the same direction depending on the wind. Up to you really.
5. Set one-shot off so you get a continuous steam of snow particles.
6. Add a world collider to the object and set the bounciness to 0 or even kill the particle as soon as it touches a collider, that way you wont get snow penetrating walls and stuff
7. On the particle animator, set the colour animation to off as you don't want snow fading in and out
8. To get the snow to drift around randomly as it falls set the random force on the particle to something like (5,0,5) and add a dampening force to prevent the particle speeding up to crazy speeds. You can also add a constant force down or to the side to make sure that snow falls roughly in the same direction.
9. If you want the snow particle to rotate or twinkle or whatever you can do that with the particle animator and have a sprite sheet for the particle to cycle through.

Docs:

http://unity3d.com/support/documentation/Components/comp-ParticlesGroup.html