Snow. Rain turns into freezing rain in Wisconsin at certain times of the year. I don't like freezing rain and freezing rain caused me to get a hip injury back in my high school days.
Depends on whether I need to drive anywhere. If it's cold outside and I don't have to go anywhere in the car then I love snow. I like playing outside with my kids, I don't even mind shoveling too much, but my favorite thing is to sit on the couch with a cup of hot cocoa and watch the snow falling outside.
If I need to drive anywhere then I prefer rain. I've seen my share of snow, having lived in PA all my life but I HATE snow driving.