I'm still at it this winter, building practice snow shelters and caves in my front yard. This time, I built a simple snow cave featured in the Revised Edition of Allen & Mike's Really Cool Backcountry Ski Book, which is the illustrated bible of traveling and camping skills for winter environments.
This one is really easy to build with an avalanche shovel and provides plenty of protection from the wind, in addition to thermal insulation. To start, dig a hole large enough to stand and turn around in about 2-3 feet deep, below the surface of the snow. Then tunnel into one side of the hole and carve out a long narrow cave, long enough to lie inside, up to your rib cage, without compressing the loft of your sleeping bag.
When you dig your hole and tunnel, pile all removed snow the on the windward side of the open hole, to create a bigger wind break, and not on top of the tunnel, to prevent its collapse.
Level the surface, and lay down a foam sleeping bag on top of the snow, part way down the tunnel. Put your sleeping bag and a second foam or insulated inflatable pad inside your bivy sack and lay them on top of the first pad. Unpack your pack and food, and then crawl into your sleeping bag and bivy sack until the end of the tunnel covers your ribs, down to your feet. As you're warming up in your bag, you can start to carve away at the walls around your head and upper torso to make more space for your gear or accumulate snow to melt into water.
Torso Deep Snow Cave
What's nice about this shelter is that it goes up quick and you can build it just about anywhere. It provides an excellent wind break and ventilation to let you cook or melt snow, as well as added torso insulation. If you're with a partner, they can dig a torso tunnel in the opposite direction and reuse your hole.
I think of all the expedient shelters I've practiced building this winter, I like this one the best.