Just that I have built so many snow caves in my childhood and many of them caved in. And it left me with - lots of snow inside my clothes, which was yucky.
I have also slept in a leftover cave dug by the military. It was a couple of weeks old so the roof was significantly lower than it was from start.
One tragic accident i remember though is about some children building caves in snow banks and being run over by the plough.