Ever heard of thundersnow?

Contrary to popular belief, thunder and lightning are not just reserved for the warm season.  In some cases, thunderstorms can form where snow falls.  This is called “thundersnow,” and although rare, it does occur. 

These storms are not common due to the fact that thunderstorms need plenty of moisture and instability (vertical motion), which the cold winter air usually does not often contain. Arctic air masses are not capable of holding much water, and their dense qualities make high levels of instability hard to achieve.

However, in lake effect snow after a strong winter cold front passes, mild air over the lake can be lifted fast enough for the development of thunderstorm activity.  This often occurs in late Autumn when arctic air begins to flood the region, and the lake waters are still relatively warm.