We just had our first official snow yesterday, considering we are on the same lat as Alaska thats not too shabby.
Its more likely to rain in Reykjavik in the winter than it is to snow, temps are usually around 0-5c during winter, with the coldest usually going around -10c.
The gulf stream keeps us warm in the winter thankfully, otherwise we would be a winter wasteland.
Here's a bunch of live cams in case you want to see the interior and other scary places where it most certainly does snow.
http://live.mila.is/