They do exceptionally well in the snow, but they'll do even better if you are:
a) a good driver in the snow
b) have the right tires (I'm sorry, but Mud Terrain tires SUCK in the snow, period. I run All Terrain tires, and while they aren't a dedicated snow tire, they do very, very well in the snow.)
c) know when and how to brake in the snow
So there you have it. Some people are just idiots in general though. I see videos online of morons in their Jeeps flying down a snowy road at 50 mph laughing at all the other cars going slow and getting stuck. I don't care how good your 4WD is or what you have done to your rig, you don't drive like a jackass in the snow, period.