It is called Thundersnow. I was caught driving in heavy snow several years ago. Couldn't see more that 15-20 feet ahead. All of a sudden everything lit up and there were several crashes of thunder. Very scary.
"There are usually three forms of thundersnow......
Thundersnow, while relatively rare anywhere, is more common with lake-effect snow in the Great Lakes area of the United States and Canada, the midwestern U.S., and the Great Salt Lake.
-- from: http://en.wikipedia.org/wiki/Thundersnow