#1 A snow cave type shelter (build a big pile of snow or find a deep drift, then dig a cave into it) can be good, but there are a number of disadvantages. It is a lot of work. It is harder without a shovel. It takes a lot time, especially if you give the pile of snow time to harden before you start to dig. You can get pretty wet crawling in and out of it with armloads of snow and knocking snow down on your face as you dig it out. If the snow is very dry and cold it can be hard to get it to pack enough. That being said, it is 100% windproof and well insulated, albeit with 32 degree F walls.

#2 Probalbly better would be a pit type shelter. Dig a pit in the snow, build up the walls as required, roof over with branches for structural support and a tarp and/or evergreen branches and/or snow for insulation.

#3 A shelter constructed from evergreen branches and possibly covered over with snow may be a bit more cozy, but it may take a lot of time and effort to cut and gather enough branches.

#4 Possibly the best would be the tree pit shelter. It's pre-dug and the floor is pre-insulated with pine needles. Roofing material is close at hand.

#5 My last choice would be a big fire out in the open, unless you want keep warm by trudging around all night gathering more wood. Plus, you end up crispy on one side and frozen on the other.

I've personally tried #1, 2 and 5.