Most comfortable? Snow cave, of course. But you need a lot of snow and it takes quite a while, but a snow cave with a few candles is very cozily romantic. (A substitute for the cave is if there's enough snow, and I mean lots, a big coniferous tree will make a decent snow well which, if you can crawl under the lowest branches enough body heat should warm it up a bit). If you're like me, though, a snow cave doesn't quite count as full on outdoors, so I'd say your best bet is a reasonably warm day, a nice snowbank, and crotch zip fleece pants for the lady
Or liquor. Too much liquor will take the edge off a 'freezie' anyday.