What my kids wanted to know

I think I remember hearing on a DVD commentary somewhere that it's plastic. Like the stuff you can buy in bags at Xmas. I think it was LOTR, and they were talking about the wind machine blowing it around and it hurting.

I found this poking around online.

On movie sets, several products generally will be used in combination or with machine-made snow to create the desired effect. Machine snow is usually avoided because it melts and doesn't look flaky when it's falling. Paper, starch, and cellulose are good materials for falling snow. They can be sprinkled down onto a scene and kept aloft by fans blowing air from the edges of the set. A problem with fans, however, is that the noise may interfere with dialogue. During snow scenes there often will be no dialogue, only music, or the dialogue will be dubbed over.

Paper is one of the most versatile materials because it's weatherproof. Starch and cellulose can give the effect of a light dusting of snow or frost on plants and the ground, but they can be slippery to walk on and can generate a sticky mess. Shredded plastic snow is good for small-scale uses in a studio, although it's more expensive. Firefighting foam works well for deep snow and is fast and inexpensive to use, but it can't be walked on.

Answering stuff is fun!

I heard that God was hanging around the movie set and he had dandruff, so they had the idea to use this as snow.
But the person who told me this was speaking Swedish, so I might have misunderstood.

I remember way back that a movie being shot in a national park had to use something environmentaly friendly due to the location and the possibility that animals would eat the fake snow so they used instant mashed potatoes. Gives a flaky look and, well some would say that it is edible.