Yes, it is rather rare but it does happen. It's called thundersnow. Usually, you only find the ingredients needed for a convective storm present during warmer weather. However, on occasion, you will get sufficient elevated instability, dynamic lift, and Convective Available Potential Energy (CAPE) during a snow storm for thundersnow to happen. I've seen it several times in the Ohio Valley.
Here is a link that will explain this further:
http://www.theweatherprediction.com/habyhints/334/
