Actually, building a snowhole correctly, will stay at or slightly above freezing. And, with a candle, can remain quite liveable. The downside is the wetness. Even with super smooth walls, it will still be damp inside. But, as a place to weather out a couple of days, it isnt bad. Not sure if a car would be warmer or not (the idea of it heating up more during the day make sense), but, as glass isnt a good insulator, I personally would choose a snowcave/hole over a car, at least for sleeping. Besides, you can lay down fairly comfy in a snowhole.
Both require venting (especially if a candle is used). Snowholes can be vented with a skipole (which remains through the hole), or a stick. A car would require you to crack the windows.