This is a fantastic question and great observation.

Acoustics is sometimes called the "science of
the subtle," and as it turns out the answer to your question has a lot to do with the subtleties of
how sound moves through the environment.
Probably the most obvious change is how a ground covered in snow alters sound reflection.
Sound is heavily absorbed by surfaces that are porous and insulating. This is why fiberglass
insulation in walls absorbs sound so well and also why curtains are hung on the sides of theaters
to control acoustic reflections. As anyone who's ever built an igloo can tell you, snow is a
surprisingly good insulator, so that also makes it an impressive acoustic absorber. Since a large
part of the sound we hear is reflected off the ground before it reaches our ears, a thick ground
cover of snow will really reduce background noise (especially where the surface would
otherwise be highly reflective, like a road or sidewalk). As an added bonus, direct sounds that
you hear in the snow will be more "muted" or more "dead" in the snow, because you aren't
receiving many reflections along with the direct path.
Possibly the most important, but the hardest to predict, is the temperature gradient above the
ground. As it turns out, sound speed is a function of temperature: the higher the temperature, the
higher the sound speed. Interestingly, sound has a tendency to refract, curving towards regions of
lower sound speed. The key here is not the absolute temperature, but how the temperature
changes moving up from the ground. If the air near the ground is colder than the air above, as
often happens when there's a thick layer of snow on the ground during the day, the atmosphere
will be "downward refracting." This means that sounds will carry further and clear obstacles
(houses, trees, hills, etc) as they travel up into the atmosphere and back down again to the
observer. This will increase background noise and make direct sources sound louder. On the flip
side, if the temperature is warmer near the ground, as it might be when the snow is freshly falling
or at night, then the atmosphere will be "upward refracting." In this case, the sound will go up
and away into the atmosphere, never to be heard from again, and the only sound you will receive
will be the direct path and ground reflections.
One last, subtle, thing to bring up is the effect of bulk absorption on background noise and
humidity's effect on absorption. Background noise outdoors is generally made up of all the
distant sound sources coming together in a jumble. The more bulk absorption there is, the quieter
those distant sounds are when they reach you. The frequency dependence and amount of
absorption are both functions of humidity and temperature, and you will find that both change
during snow. This will contribute somewhat to the difference that you hear. However, the effect
is probably less pronounced than that of ground cover or refraction.
Before anyone mentions scattering off the snowflakes. The snow flakes are small compared to a
wavelength for most of the sound we care about, so they don't really scatter much. However,
they will contribute to the bulk absorption of the air. Edit: This is frequency dependent, higher
frequency = shorter wavelength = more absorption and scattering off snowflakes. This might
contribute to the "muted" nature of sound during snow.
So, as a short answer to your question, a lot of subtle things will change during cold weather.
Some are harder to predict than others, but all will be noticeable to the attentive listener.
Hope this answer was helpful!