Gear:
For my most recent work I have used a 105mm macro (some with extension tubes) on the D700. I have also used a 'poor mans macro' setup with a 50mm, and using a crop sensor camera with a regular lens will give you extra zoom! You can also use just extension tubes with regular lenses, but I have had the best results with combining the extension tubes and the macro lens.
It is often helpful to add more light, such as a macro ring light. I used a LED ring light for many of the images used in this tutorial.
Some people use tripods - these can definitely be helpful for lower light situations, but if the snow is melting fast or blowing away quickly you may not have time to set up your shot!
Lens cloth - for cleaning your lens if it gets snow on it.
Settings:
If you're handheld or if it's windy you'll want to keep your shutter speed at 1/200 or higher (especially if you're cold and shivering!). If it's on a tripod you can use much longer shutter speeds.
Close down your aperture. I suggest at least f/10. The closer your are to your subject (in this case snowflakes) the shallower the depth of field, by closing down the aperture you can increase the DOF and help keep your flakes in focus.
Boost your ISO - you are likely going to need to boost up the ISO to make sure you get proper exposure. How high will depend on your other settings and how much light you have, and when it's snowing it's cloudy (And sometimes very cloudy with very little light). It's not uncommon for me to shoot at 2500-4000 ISO for flakes! Remember that you will get less noise from proper exposure than you will get if you underexpose your image in camera and have to compensate with post processing. Extension tubes will also cause you to lose light and require higher ISOs, but the extra reach gave me more detail even with removing the noise in post processing.
Poor Man's Macro:
Take your 50mm lens and put it on your camera backwards! You will have to manually adjust the aperture (some lenses have this adjustment on the lens, you will just need to unlock it, I hear if you don't you can set it in camera then remove the lens and it will stay at the aperture last set - but I can't confirm this). There are reverse mount rings that will allow you to do this without having to hold it. The meter will not work but you will get macro abilities... and it's a challenge so that makes it more fun!
Look for interesting flakes:
You can actually see the flake patterns with the naked eye. I will search for flakes, then work on focus. Not every snow fall will have flakes like these! Sometimes it comes down in clumps or looking more like shaved ice. Sometimes it's a mix. Sometimes it changes as it snows, so just because it starts off as poor quality flakes doesn't mean that in 15 min it won't be the most awesome flakes ever (yes, I've had that happen)! Go in and warm up and try again later if it's still snowing.
It helps to find flakes that you can shoot straight on (flat side to you, not at an angle to the camera). This is because the DOF is so shallow for macro work that I find when I shoot at an angle sometimes the middle of the flake is in focus, and both edges are not! By photographing them straight on you can get the whole flake in focus.
Cropped in close (about 100% crop) you can see that both edges of the flake are slightly out of focus:
To find the flakes I will search the tops of fences once the snow builds up and look for flakes that stick up, or put out fabric (see the backgrounds section below) to catch the flakes on as they fall.
Focusing:
Cameras tend to have trouble locking focus when the subject is so close, so I flip the lens/camera focus mode to manual. Then I turn the focus so it focuses as close as possible so I can get maximum zoom. I line up the camera with the flake, and then use my body to move further and closer until I see the flake come into focus (it's like magic to me to watch this!).
Take lots of shots:
It's not always easy to see if you nailed the focus perfectly on the LCD, so take extra to make sure. If it's a flake I really like I will take 5-10 shots!
Try different backgrounds:
Dark colors help show the flakes details, adding color can be fun, and don't forget textures! Soft fabrics are great for snow that is falling fast, as it helps to prevent them from breaking.
Fur fabric (This is actually brown fur but I edited in post to blue to fit the coldness of the snow):
Blue and white scarf (fleece type material):
Snow on a fence, neighbors house in the distance as a backdrop. Shaded areas behind the flakes helps to make them pop:
Black sheet type fabric:
Plexi glass (I keep a sheet in the garage so it's cold and doesn't melt the flakes). In this image I put it at an angle against the garage, over a small bush:
Try different compositions to add interest:
And last but not least -
HAVE FUN!