We would go to Bear Gulch in "Warm River" Idaho (the site of a long-defunct ski hill). One year we made snowshoes out of PVC, vinyl, and zipties and then got to hike in them.
It was very cold but we were well-prepared. The snow caves were pretty warm and making them was fun.
We spent most of the time sledding. Only one kid got a concussion from going on the jump we made, so that was a minor miracle.
Thinking back, it wasn't the coldest campout I did as a Scout. That would be when we camped on my great-uncle's farm at Antelope Flats (between Ririe and Swan Valley). We slept in tents and I was so cold all night. The next morning I went to cook breakfast and the eggs I brought had all frozen solid.