Let's face it for most temps we find ourselves in daily we don't really need a separate "cold weather" knife. We're indoors and not usually hacking through chunks of ice to make igloos. But there are some things to keep in mind if you do work or play in the great snowy outdoors. Most likely you're looking for something for work, hunting, camping or survival situations. Here are some things to keep in mind:
You get what you pay for, opt for strong, stainless steel. This will help prevent moisture from eating at your blade and give you amazing edge holding capabilities. Something like a VG-10, laminate steel, CPM S30V or equivalents.
Another thing to keep in mind is the finish. If you're a hunter you may want a satin or matte finish blade to not expose your location. But if you're a worker or survivalist you should opt for a polished finish. That shiny blade can reflect light and be used to signal when needed.
Shape, size and material are most important. Synthetic handle material is good like G-10, and shy away from plastics. In addition, a molded rubber handle or hardwood handle makes great choices. They can be shaped to your hand or textured to make the grip even better. Whether you're wearing gloves or not.
A side note on color- White is right out. Whoops dropped it in the snow, I'll be digging for a bit to find that one. Yellow, maybe, but a little gross. No one wants to root through the snow of the yellow variety. Bold color is often your best choice like blue, red, black or orange. At some point, you will drop the knife or at the very least set it down. And when you're cold, taking a few extra moments to search is not a fun or desirable task.
If your life may depend on the blade, don't go too cheap. Extreme temps can crack lesser steels and plastic handles. And a good knife will be with you for a lifetime, making it an investment. Cheap knives are specifically designed to be disposable and you'll repurchase them often. As in anything quality matters.
Lastly, look to what has worked for hundreds of years for those that brave the elements daily, the Scandinavians and Eskimos. A good Puukko or Mora would be very high on our list. A proven design again with gloves on or off. Want easier carry? The Spyderco Military stands out as a terrific folder choice. That huge spidy hole really catches gloves and opens and closes well with cold hands or thick gloves. Finally an eskimo machete. Basically a large fixed blade knife or small machete that is shaped to be good at larger chopping and shearing tasks with mittens on when ice is your adversary (like when trying to build that igloo mentioned above). Be safe and stay warm, plan for the unexpected and let someone know where you're going!