Here's sort of a pictorial review of my first and latest snow camping trips. It started pre-UL with some seriously miserable fun out on Dewey Point in Yosemite where we had freezing rain the entire first day. But, there's no better way to learn, than through extremes. In fact, I began this passion with a borrowed floorless, dual-peak type tarp tent from Black Diamond. And, to this day, floorless remains my shelter of choice.
My point, here, is to show a small example of the variety of approaches and methods to help the first-timer appreciate their options, and to amuse the rest of us. It's by no means comprehensive (no snow caves), and is limited, too, by my own experience strictly in the Sierras and SoCal mountains, which I find to be an overall mild and generally predictable Winter adventure.
This review includes a range of floorless tarp tents and tarps with bivys, a Craftsmen crap-tent, free-standing 3-Season tents, UL 3-Season, and even a full 4-Season bombproof freestanding 2-man shelter (saved my ass once, thanks Josh).
It's Winter, but you can still be UL in strategy and gear choices, though, ultimately, it comes down to comfort, which is purely a personal blend of experience and individual physiology. Yer either warm, or yer cold.
http://www.flickr.com/photos/83319125%40N00/sets/72157622842818200 (in case the embedded link dies)