Snow

Snow is a form of precipitation; simply rain, though the atmospheric temperature is so cold, that the rain freezes to form snow. Other than Earth, snow is known to fall on other planets, including Gallifrey, Sto and Ood Sphere. The Doctor is known to be fond of snow. (DW: Gridlock, Voyage of the Damned, Planet of the Ood)

Fake snow
Since the ninth incarnation of the Doctor, many instances of the snow he encountered wasn't snow at all;
 * In Christmas, 2006 the "snow" falling on London was in fact ashes from the remnants of the Sycorax space ship that was destroyed by the Torchwood Institute, on Harriet Jones' order. (DW: The Christmas Invasion)
 * In Christmas, 2007 the tenth incarnation of the Doctor used his TARDIS to excite the atmospheric conditions around London to create snow. (DW: The Runaway Bride)
 * In Christmas, 2008 the ballast from the spaceship Titanic went through the atmosphere, where reentry made another instance of palling ash to resemble snow. (DW: Voyage of the Damned)

Real snow

 * In Christmas, 1869, Cardiff. (DW: The Unquiet Dead)
 * Ood Sphere, 4126. The Doctor commented with glee "snow, real snow." (DW: Planet of the Ood)
 * In Christmas, 1851, London. The Doctor was very pleased with encountering the actual snow. (DW: The Next Doctor)
 * In 2059, the Doctor was happy to see snow on Earth after bringing the remaining crew of Bowie Base One back from Mars. (DW: The Waters of Mars)

Behind the Scenes
One of the deleted scenes for The Waters of Mars showed the the Doctor expressing his love for snow and Yuri Kerenski telling the him that it's the Carbon Wash cleaning the atmosphere and questioning him because he doesn't know this fact. Whether this fact is still supposed to be seen as part of the episode is unclear and it is also unclear as to whether this is still real snow with a new scientific name or a process which is unknown.