Depends on the car, if you have tcs that doesn't deactivate then 2nd gear and any wheel slip is an instant near stall as it pulls the throttle out.
Last snow we had I had fun wondering why it refused to move in fairly shallow snow..then realised the tcs was cutting the throttle to the point there wasn't enough power for it to move off in second.
So you have a choice, use 1st and let the ecu do your throttle control or use 2nd and press the "off" button if you have one both seem reasonably similar.