Thundersnow has been reported along the sharp cold front in the Great Plains, USA!

There are several distinct weather setups that produce thundersnow. Lake-effect (or sea-effect) snow can produce thundersnow. It happens when cold air passes over (relatively) warm water and produces convective snowfall. This phenomenon is frequent in parts of Europe, particularly along the coasts of the Mediterranean, Black and Baltic seas. Upslope flow can also produce storms with thundersnow – this is typically seen in late autumn and early winter along the coastal areas of the Mediterranean where air passes over the still relatively warm sea and is forced to rise along orographic boundaries, such as the southern slopes of the Alps or the western slopes of the Dinarides. Thundersnow can also form on thunderstorms on leading edges of cold fronts in winter or on large synoptic scale snowstorms.

One interesting phenomenon with thundersnow is the relatively small reach of thunder: in ordinary thunderstorms thunder can be heard tens of kilometers away, while in thundersnow the snow acts as a sound suppressor and limits the distance at which thunder can be seen to less than 5 km.

Being a rare phenomenon, thunderstorm is highly popular with weather enthusiasts and storm chasers. See reports of thundersnow from the current cold blast in the US below:

How rare is it to see thundersnow? This now classic reaction by TWC meteorologist Jim Cantore says everything: