Yep, they crossed to a game in the snow under lights on the footy show a few years back, i remember because i know the umpire who had umpired over 1000 games at the time. And I'm sure there have been plenty of games in the snow, not in the VFL/AFL but definitely in the smaller leagues, I played in a game when playing my last season at a place called Mt Beauty, there was snow all around the ground in the hills, actually a teammate, took his daughter up to the snow before the game and came back with a heap of snow in his ute, true story. That was the coldest day i ever played footy in, the bloke on me asked me if i was alright, my eyes were rolling around everywhere, we even had a swig of stones green ginger wine at half time to warm us up.
I think it snowed briefly in Canberra a few years back for a Western Bulldogs (v North Melbourne??) game at Manuka Oval. I can't remember the details very well. And yes I've played in the snow at Cooma and Goulburn - it's unpleasant!
no afl has not been played in the snow but ben cousins use to play on it