GMC 2002 Yukon Denali Owner's Manual page 243

CAUTION:
Snow can trap exhaust gases under your vehicle.
This can cause deadly CO (carbon monoxide) gas
to get inside. CO could overcome you and kill
you. You can't see it or smell it, so you might not
know it is in your vehicle. Clear away snow from
around the base of your vehicle, especially any
that is blocking your exhaust pipe. And check
around again from time to time to be sure snow
doesn't collect there.
Open a window just a little on the side of the
vehicle that's away from the wind. This will help
keep CO out.
You can run the engine to keep warm, but be careful.
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