There are several methods to create snow..
In part it will depend on the type of snowflakes you're after, and the kind of shot you're doing.
Crushed up cornflakes painted white and sprinkled from above can work.. I might use something like this with a large fan for a blizzard look, since they will fall through the air faster than a normal snowflake usually would as they've got more mass.
White PVC shavings would work, though they might be a bit static filled, and that could potentially create some problems..
You could do it digitally with After Effects or a similar compositing program.
Probably the easiest way is with a
snow machine (as with most things like this, they can be had for much less or
much more money..). They look a lot like a fog machine, and work basically the same way as a bubble machine. As I recall it's small clumps of foamed soap. They float on air currents the same as real snow, fall in a similar fashion, and "melt" similarly on someones clothing or hair. This is the method used in
Serendipity, they talk about it in the commentary. Incidentally, when I saw Trans-Siberian orchestra in the Xcel center a couple years ago, they had two of these on the end of a couple piece of light trussing that were extended out toward the crowd from either side of the stage (about half-way up the full ceiling height).. When they kicked 'em on during one of their songs It absolutely looked like it was snowing inside. Very cool effect.