Remove it, otherwise you are just another snow drift. A close encounter with a snow plow will ruin your day (most people who get stuck get stuck next to roads), and being missed in an air search can be lethal (if you are stuck on the "scenic" route). While I agree with Burt about it turning the car into an ersatz igloo, if you are planning on trying to drive out, removing a little snow many times uses a lot less energy than moving a lot of snow once, or worse, ice if it melts against the car and freezes (say, in the gaps in the steering or the brakes). And if you are out of shape, less likely to lead to distressing circulatory issues.

Also, if you are using your heater for warmth, you kinda need to keep the air moving, otherwise you'll feel a little light headed, then sleepy, then it will go dark. Can't do that with at least four inches of snow on top of everything.

And if you are like me and claustrophobic, a snowed in car is a fate worse than death. Just like an elevator in a black out. *shudders* Although the quirk is, I've never had the panics in a snow cave- I don't question my demons, I just roll with it.