In reply to joeydurkin:
My dog, a collie/retriever X used to x-country ski with me over several miles on the North Yorkshire moors. I assume she enjoyed it, although I'd suspect she would have preferred a long run or walk over a smelly footpath.
The only issue I can recall was in soft despise snow. I'd stay on the surface, mostly, she'd sometimes sink! But the situation was often me doing the sinking and she on the surface,!!
Dogs may also get snow balls on their underneath or legs.