When thunderstorms form in wintry conditions they can sometimes give rise to heavy downpours of snow which are often called 'thundersnow'.
Thunderstorms develop when warm air under colder air wants to rise. Generally these conditions are much more common in summer and so it is not unusual to have regular thunderstorms throughout the summer months. However they can also occur in winter as well.
If the weather is cold the rain associated with a thunderstorm can then fall as snow and thus is called thundersnow. This is unusual only because it can only occur in a few months of the year.
Interestingly, the snow contained within the thunderstorm acts to dampen the sound of the thunder. While the thunder from a typical thunderstorm might be heard many miles away, the thunder during a thundersnow event will only be heard if you are within 2 to 3 miles of the lightning.
When thundersnow occurs at night the lightning seems brighter - this is because the lightning reflects off the snowflakes.