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Snow Golems wander aimlessly until a hostile mob is seen, after which they will throw snowballs at it. Snowballs do not do damage, but anger the mob, thus diverting the enemy's attention. The mobs will then attack the Snow Golem until it is dead. Snow Golems will only hurt Blazes and the Enderdragon.
As previously stated, Snow Golems will take damage from any form of Water, similarly to Enderman. However, they cannot survive in the Nether, Jungle Biomes, or Desert Biomes because of the heat. A Fire Resistance potion will render them immune to these biomes, however.
To create a Snow Golem, the player must stack two snow blocks on the ground, then place a pumpkin on top of it. This does not require a crafting table. An alternative for pumpkins can be substitute for a jack-o-lantern .
Note that when building it, the pumpkin must be put on last. This makes Snow Golems impossible to generate via redstone-effected items. Also note that they can be created in the Xbox 360 Edition as of a recent update. However, only 8 of them can be created at a time.