Though variations exist, the answer is "Do you smell carrots?" This joke is a long-standing Christmas joke and brings humor because the traditional snowman has a carrot for a nose. Other answers for this might be: "Ice to see you" or "FREEZE!"
This joke can be called an anti-joke; one that has a perceived answer, but the true answer is so anticlimactic that it creates humor. This joke gained some notoriety when it was used as a passphrase by the characters Desmond and Kelvin on the television show "Lost."
Another snowman joke is: What is a girl snowman called?
Answer: A snow-ma'am.