This technique appeared recently in Popular Science magazine and was attributed to chemist Tryggvi Emilsson. The picture at right is from that article. The quality of the snowflake in the image is mediocre, but the replica looks pretty good.
Here's how you do it:
1) Go outside with some glass microscope slides, cover slips, and superglue (not the gel kind; it should be thin and watery). Cover the slides and cover slips until they become as cold as the surrounding air.
2) Let snow crystals fall onto a cardboard collection board, and scan around with a magnifier to find an attractive specimen. Carefully pick the crystal up using a small artist's paintbrush and place it on one of the slides.
3) Place a drop of cold superglue on the crystal, and drop a cover slip on top. Be careful not to melt or otherwise damage the snow crystal in the process.
4) Leave the slide outside or in your freezer for a week or two until the glue hardens