|Suzzallo Graduate Library in the snow (and Hi there, crazy guy in shorts on the right)|
Nameless by Sam Starbuck
This one actually does involve snow, but it also involves magic and mask-making and small town life, and it would go very well with a nice calm day. Read more here.
The Children's Book by A.S. Byatt
I associate cosy winter afternoons with big dense books, and The Children's Book is probably the epitome of a big dense book. It's magical and historical and glorious. Read more here.
Farthing by Jo Walton
Alternate history plus murder mystery--you've got to have at least one mystery novel on the list of snow day books, and this is a particularly interesting one. Read more here.
Parnassus on Wheels by Christopher Morley
This one certainly isn't big or dense, but if you wanted to spend your snow day reading a series of short books, this one and its sequel, The Haunted Bookshop, would be perfect. Read more here.
The Physick Book of Deliverance Dane by Katherine Howe
I realize this is mostly set in the summer, but I still think it would be a good book for a snow day. It's about books and history, which qualify as cosy for me, and it's an extremely satisfying story. Read more here.