Neil said:
I've used a no-brainer variant on the igloo called a quinzee. All you do is make a huge pile of snow then carve out your sleeping quarters. Sort of a cro-magnon igloo. Rather time consuming and wet work but great for a base camp. Even if it's -40 outside it'll be near 32 inside. We usually had to poke a few air holes to let the humidity and heat out.
I've slept very comfortably in a quinzee many times, including -35 outside while it was in the high 20's inside.
There are a couple of problems to consider when constructing one.
You need to stop early in the afternoon if you want to be finished before winter darkness, considering that you will require at least a couple of hours for construction. Part of that is you must wait at least an hour, 2 hours is much better, for the pile of snow to consolidate before you can carve out the inside. Otherwise you risk collapse during construction.
You
will get wet, either from sweating on the inside or from snow melt by your overheated body laying on snow during construction. I usually strip down to minimum clothing, wear a rain suit and work slowly to stay reasonably dry.
Construct a slightly elevated sleeping platform above the floor, lower toward the door. A candle or two works wonders for light and warmth, but don't forget a small (ski pole basket size) hole for ventilation. Keep the hole clear of frost and snowfall.
Last year I ran across some inflatable balloon contraption for sale online, so you didn't have to pile and remove all the interior snow. I don't know if it was worthwile or is still available or not.