It kind of totally blew my mind after discussing snow accumulation not too long ago while completely under the assumption I'd only see such a thing in Skyrim. And the snow accumulation shader came right after someone else managed to get most objects/structures in the game to cast shadows (which will apparently be released eventually). It's like every time I turn around someone is implementing another feature I'd specifically wanted but assumed wouldn't be possible after doing my grand survey of tesnexus. Immersive Interiors, those weather boxes in Chorrol. Apparently I got into Oblivion at the right time!
EDIT: Bonus weather box http://i55.tinypic.com/291p0k6.jpg