There are usually two responses to the first (and subsequent) snow storms of the year: one verbal response is usually also a four letter word beginning with "s" but the other is more along the lines of....FINALLY!

For the latter folks out there, I figured I'd relate what knowledge I do have of snow fun in the immediate area.

Sledding 101:

Where to get a sled - Dick's is my go-to place with snow tubes as my go-to instrument of funness. You'll see two sizes - 39 inches and around 59 inches in diameter. You may think you can't fit into the 39-inch one but, honestly, you can. They're cheaper too (I got my polar bear one for $10.50 while the larger ones are usually about $35, unless on sale). L.L. Bean also has a selection of toboggans, sleds and snowtubes. They're more expensive but come with a lifetime guarantee which will be helpful when you hear that first, slow, squeaking leak in the snowtube.

Where to sled -

Frear Park, Troy - To me, the Frear Park golf hills covered in snow are the quintessential winter spot to be, especially for sledding. The Park Pub is right there for good food (five words: Peanut Butter and Jelly Wings) and good drinks which will likely be needed to keep at least the feeling of warmth when not sledding down a well-packed sled trail or walking back up.
This park is known as a high school and college hang out (particularly at night) but it's great for families too during the day since there are varying heights and steep/not steep grades for the hills.
But my favorite is going there at night after the first snow. The street lights provide ample illumination on the hill and there's just that excitement in the 25-degree air of another winter season on the horizon.

Spring Street, Troy - Across from the Spring Little League in the East Side of Troy, there is a gentle hill. I would say it's perfect for families except that it does kinda go directly into Spring Street. There's usually enough flat area to slow down but there is a fun high about thinking you may, though probably won't, sled into traffic.

Snowshoeing 101:

Where to get snowshoes - While snowshoes themselves are pretty simple things, there are a few things to consider when getting them including weight and shoesize. I just had a friend say that Dick's was no help at all in his quest of snowshoe purchasing so I'd recommend L.L.Bean. That's where I got my pink snowshoes. L.L.Bean folks know their winter activities, while Dick's employees have to have a more general knowledge of all sports. You can also pick up winter walking poles (similar to hiking poles) at L.L.Bean.

Where to snowshoe -

Honestly, anywhere there is several inches of snow. You can snowshoe on the lawn, you can snowshoe at dawn. You can snowshoe at the park, you can snowshoe in the dark (though not recommended). You can snowshoe at most of the places I'm recommending for sledding and XC skiing, and usual hiking trails - like the Mohawk Hudson trail.

XC Skiing 101:

Where to get skiies - I recommend used shops especially if you're new to the sport. Learn how to ski on something that costs only $15 for skies then get something more expensive when you know what you're doing. The boots will likely be expensive but they're well worth it since you can use them as winter boots too for shoveling, snowshoeing, or sledding, etc.

Where to XC ski -

Grafton Lakes State Park - This park has miles of trails for XC skiing, snowshoeing, and some also designated for snowmobiling. Entry, unlike in the summer, is free and there is a fun Winter Festival coming up in January.
The one annoyance is that sometimes the snowmobilers mess up the XC ski trails. But, at the same token, the snowmobilers also groom the trails so they're easier to ski.

Albany Pine Bush - This is my favorite place to XC ski. There are acres of flat ground and there are the occasional fun hills, and the even more occasional "Ahhhhhhhhhh!!!!!!" hills, which are also fun but definitely require a little bit more skill. By time I go to the Pine Bush, there's usually already well-packed trails to follow for XC skiing. For flatter ground, go to the end of Washington Ave. Ext. beyond the water tower (I believe it turns into Madison Ave Ext). Or go to the Discovery Center on Rt 155 for a bit more hillage. Either location, you'll have fun.

Saratoga National Park - This is my white whale of XC ski spots. I've been hearing how great it is for years but have never been able to make it up there to experience it myself (I'm not counting last year when I went the day after a snow storm and it was more mud than snow by time I got to the trails). From what I do know of the trails, there is a good variety of flat and steep grounds, with mainly flat areas that go all along the historic site - known as being the Turning Point of the Revolutionary War.