yes they do. i don't think there is a huge difference from most of the colors but if u have a darker lense and its snowing and overcast your gonna have trouble seeing what u are riding on. same with a clear lense in the sun, they work but you would want a darker lense. take a look at smith i/o goggles. they come with two lenses and can be changed in under 20 sec. u can find them on ebay for $90.
How To Buy Snow Goggles - YouTube
he beat me to it haha.