I'm doing some experiments with snow. I'm not quite sure how to take it on, but I scattered 1,100,000 cylinder instances around the scene to create snow where there is nothing overhead. There are also some snow particles in the air. I made the snow material a little big glossy, but I think I might have to use SSS to get the best results.
I rendered the scene with the sky being transparent, then added a black background (for now) using GIMP.
edit
Rain scene added:
