The lower the gear, the more power to the drive shaft. When you're hauling up a steep grade you want more power in your wheels, hence a lower gear. When you're driving in snow, you want power to the wheels, but not too much, as too much power will cause them to spin. In any event, you lose power to the drive shaft entirely during the time it takes to switch gears which could cause problems (note my story in a previous post).
ETA: And by "power", I mean torque.