1) For snow in the background of a large exterior location: fire brigade foam, which is bio-degradable, covers a large area very quickly and is relatively inexpensive. To get rid of it, you can hose it down, but it's better just to let it 'melt' naturally.
2) For fallen snow in the foreground: dendritic salt (the salt used in the production of German sausage and cheese) - better than regular table salt because it coagulates when slightly damp. But sprinkling it is very labour-intensive, you can't use it on plants, and for obvious reasons it can't be combined with real snow.
3) In an interior you might have plastic or paper snow. The plastic is shredded carrier-bag type plastic, the paper cigarette papers screwed up into little balls. It creates, says Kinder, more of a pantomime or a television effect; it's not really convincing on a big screen. A current example is The Muppet Christmas Carol, where this doesn't too much matter (naturalism isn't at a premium when Bob Cratchit is played by Kermit the Frog). Paper was used rather than salt to protect the Muppeteers' eyes.
Falling snow is the tough one (especially across a wide expanse of landscape) - you need either a trough with holes in it and a fan (for paper snow) or (more convincing) a snow blower that ejects gusts of a mild soap solution.
Other possibilities: shaving foam, feathers, Christmas aerosol sprays, sawdust, gypsum, large soap-flakes and polystyrene beads (as seen in Ridley Scott's Legend).
The Golden Icepick for Worst Movie Snow Job (awarded ex aequo): Batman Returns (cited by Will Kinder): 'They seemed to have used foam everywhere instead of just in the background'; and Battle of the Bulge (cited by the film critic Philip French) where everyone keeps talking about the snow, but there's barely a flake to be seen.