I went Winter camping when I was in my 20's and we built a Quinzhee.
It is similar to a Igloo except you don't stay in them for long periods of time.
You clear the snow away all the way to the ground and for the first night there is quite a bit of heat coming up from the ground as it is not as cold as the surrounding air temp. The snow works as a insulator until it is removed.
With a good down sleeping bag and a tinfoil insulation pad and therm-o-rest inflatable air mattress it was really good.
We even had a fondue pot on a propane burner and ate well.
Ours had a tunnel entrance and you can make them as elaborate as you want.
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