It is perfectly safe to eat snow, provided the snow is gathered from a clean area and has not been contaminated. Snow is crystallized water and is potentially more pure than typical tap water. However, snow often picks up impurities from the atmosphere while it falls.
For this reason, it is advisable to not eat snow when it first begins to fall. If snow has been coming down for a while, most of the impurities have already been removed from the atmosphere, so the remaining snowfall is safer to eat. Snow that has come into contact with roads, garbage or other contaminants should be avoided.