The Shogun's pretty stable so long as you remember you're trying to stop 2000Kg of tank when it comes to slowing down
Both Sierras are 4x4, so they handle the snow better than their RWD counterparts. However, it's not a directly gear drive as I understand it so if you get too confident with all 4 wheels working it'll soon do a Capri impression. I've had the Cosworth V6 'chirp' its tyres in the wet....