Here in the midwest the past couple of years we've had a couple thunder snow events in the winter and I thought that snowy thunderstorms with lightening and all was weird and rare. I ran across this information at the National Weather Service that describes snow rollers:
"Unique combination of snow, wind, temperature and moisture needed to create them. They form with light but sticky snow and strong (but not too strong) winds. Some snow rollers are formed by gravity (i.e. rolling down a hill), but in this case, the snow rollers were generated by the wind."
I guess these are the winter's version of tumbleweed. These photos were taken by Tim Tevebaugh in Idaho. More here including more photos. I found a YouTube video of someone who found some snow rollers somewhere, but they didn't say where. That can be seen here. Fascinating stuff, huh?
