Make sure you know the area you're traveling in before you start. Maps are your friends. Mark your trail. If a snowstorm covers your tracks, this will help you find your way out. Just about anywhere you can hike or mountain bike in summer, you can snowshoe in winter.
Nordic trails are another good bet, but be polite.
Some cross-country resorts in Montana are even getting into the snowshoeing act. Visit the cross-country section of this web site to find out more. Perhaps your biggest gold mine of opportunity is snowmobile trails. These trails are usually well-packed and easy to navigate. Again, yield the right of way to approaching snowmobiles by stepping off the track.