That is what the NASA robot Phoenix has detected: large water-ice crystals falling from Martian clouds. It is not clear if these reached the ground or vaporized while falling.
The snow was detected with the LIDAR instrument (top) falling from Martian clouds (bottom)
Through its mission Phoenix has detected permafrost in the ground, growing humidity as the Martian summer advanced and the increased frost as it was left behind. It is expected that the module will not survive the Martian winter as temperatures will drop brutally to at least -120ºC and sunlight will not be enough to feed its batteries anyhow.