I've only had my Trailhawk for 3 months, and it spent most of one of those in the shop getting a new engine. But we've still experienced quite a lot of different winter and "winter" conditions together.
First we got 4"/10cm of wet slushy snow. Snow mode was very useful for this; without it the Jeep would understeer and felt jittery.
Over the next couple of days we got another 24"/60cm of colder, fluffier snow. Again, Snow mode was the bee's knees driving on unplowed roads, but as soon as they were cleared there was no reason to go out of Auto mode.
Then it got warm (up to +8°C/46°F) and started raining. The compacted snow turned to slick ice which became even slicker with rain on top. Snow mode was definitely on again. When it stopped raining and temperature dipped below freezing again, I switched to Auto mode again. I could see how much Snow mode hurt the fuel economy.
Recently we got 10"/25cm cold snow followed by a cold spell (down to -29°C/-21°F). There has been stories about major accidents (30 car pile-ups) all over the news, but I found that the Cherokee did perfectly fine in Auto mode.
So, as a summary, I'd say that I think Auto mode is quite sufficient for most "normal" winter weather conditions, provided you have proper tires on your Jeep. Snow mode is very useful in extreme
conditions like slush, ice or polished packed snow. As @Toecutter
said the Sand/Mud mode might be useful for forcing your way through deep snow, but I haven't had a reason to try this. (Snow mode worked well in 15"/40cm of wind-driven cold snow, though.)