In The Lord of the Rings: The Fellowship of the Ring when the Fellowship is climbing the mountains and are pretty much overcome by the snow; Legolas is quite able to walk on the snow, when the rest have to wade through the snow:
Slowly they moved off, and were soon toiling heavily. In places the snow was breast-high, and often Boromir seemed to be swimming or burrowing with his great arms rather than walking.
Legolas watched them for a while with a smile upon his lips, and then he turned to the others.
`The strongest must seek a way, say you? But I say: let a ploughman plough, but choose an otter for swimming, and for running light over grass and leaf or over snow-an Elf.'
With that he sprang forth nimbly, and then Frodo noticed as if for the first time, though he had long known it, that the Elf had no boots, but wore only light shoes, as he always did, and his feet made little imprint in the snow.
'Farewell!' he said to Gandalf. `I go to find the Sun!' Then swift as a runner over firm sand he shot away, and quickly overtaking the toiling men, with a wave of his hand he passed them, and sped into the distance, and vanished round the rocky turn.
-The Fellowship of the Ring (The Ring Goes South).
[Emphasis added is mine]
How is this so? Is there any canon explanation of this (or any similar) ability?