Outdoor exhaust pipes from my heating system
Scenario 1: Nothing. The heated exhaust air will melt its way through the snow and you won't have a problem.

Scenario 2: The furnace will malfunction. The exhaust pressure sensor will trip, causing an incomplete startup cycle.

Scenario 3: You'll get poisonous exhaust gases accumulating in your home, possibly causing illness or death.

Moral of the story: Make sure that doesn't happen by extending the pipes or whatever else is necessary. Make sure you understand how to do it properly so you don't make the problem worse.