Most everyone loves fire. Fire is essential in a wilderness survival situation for a few reasons. One, it provides warmth which keeps body temperature up. Two, it provides heat used to purify water. It also provides light, heat to cook food, and serves as a center to draw people in. Earth based wisdom teaches us that fire is a spirit unto itself, and encourages us to have a good relationship with fire. I know that despite my passion for it, I didn't truly appreciate fire until it took me four days to get it with a fully primitive bow and drill fire making kit on my first wilderness survival solo.
Preperably a real snow cave, a quinzhee or a slope cave would be chosen, but those shelters are time consuming and requires some experience to do right, and in som areas like in the forest, it can be impossible due to snow depth, or to find a bank with enough drifted snow. Shelters like that are more useful above the tree-line were there are more snow and less vegitation.
When searching for immediate, short-term shelter, look for trees (especially fallen trees), rocky overhangs, and caves. Trees are an obvious source of shelter and have many useful parts for building shelter including the trunk – which can be used as a support, the branches – which can be used as framework, and foliage – which can be used as insulating material.