It is safe to eat snow, as long as it hasn't been touching anything dirty, such as the street or the ground. Snow is crystallized water and is a very pure form of precipitation. Campers and mountain climbers often use snow as a source of hydration with no ill effects.
People should not eat snow that is any color other than pure white. Only fresh snow that has just fallen should be eaten. An ideal way to collect fresh snow and be certain it's clean is to put a large bowl outside to catch the snow. Snow can pick up particles that are in the air as it falls. However, most of these particles are already washed out of the air if it has been snowing for some time.