It certainly is a cheap hobby. All you need is a shovel and a hand shovel, that's it.
And of course, some snow but that's totally free.
The snow has to be just right, which means that the temperature has to be just right. November and March are the best months for snow sculpting here in Upstate New York. The months in-between those are too cold, and the snow doesn't stick.
Here is today's sculpture: