I have made a snowman scene in Blender 2.5 which also has falling snow. When i press Alt+A, everything works fine. But when i render a frame (which shows snow when Alt+A is pressed), the particles are not there. I will upload the .blend file later. If you know the solution now, please do tell. Thanks.
Your particles have a material assigned?
You set the particles to render with that material?
What type of material have you applied to the particles?
What are the materials settings?
A little screenshot of the particle settings would help a lot 
Did you choose an object like a sphere in the render-tab?
sorry everyone for disturbing. Actually i forgot to assign the halo material to the particle. Sorry.
No need to excuse at all.
Sometimes one doesn´t see the solution and a list of possible reasons leads to the answer faster.
It is better to utilize the knowledge of many for 1 minute than wasting hours alone on a trivial issue.
Many just don´t dare to ask being afraid to be seen as noobs and those stay noobs longer as they waste their time =)
If one could learn everything alone there would be no need for schools and universities