Oddly enough, my favorite snow day memory was actually a day where school wasn't cancelled.
It was three or four years ago, and the night before it had rained frozen rain, so the streets were frozen solid. School wasn't cancelled, however, so my neighbor drove me in. On the way in, we saw tons of cars with their wheels spinning like mad and not going anywhere, and, despite how crazy scary it was, I couldn't help but think it was really, really cool. So, I finally get to school with my neighbor's kid, and when I walk in I see that the halls are deserted. I go to home room, and only like 5 kids are there instead of the normal 25.
Apparently there was so much ice that the buses were taking forever to even get to the school. So, we goofed around with my science teacher/homeroom teacher for three hours and then pretended to go to class, but since nobody was there the teachers eventually gave up and just showed us a movie in the auditorium.
That day was so goddamned strange and patheticly funny that I can't help but smile whenever I think of it.