In reply to Charlie_Leeds:
Marmot Helium and of course a goretex bivy bag.
I know it does the job very well because my my colleagues and I have done hundreds of nights snow holing on winter MLs in them! Previous to that the preferred choice was the Rab Premier 500, no longer made.
Remember it is not very cold in a snow hole, snow is great insulator. The temperature where the snow meets the ground is always zero deg..... A decent sleeping mat helps a lot.