I have always heard sunny snow days are the worst, because you feel cold, but the sun is still hitting you, plus reflecting off the snow to hit you twice.

I agree that it very much depends on latitude and time of year. In most of Europe, overcast days usually don't present much of a problem for me, but I remember spending a day at the beach in Ecuador under very dense cloud cover and getting one of the worst burns I've ever had

They are also the worst because you get mostly UVA since UVB has a harder time penetrating through cloud cover

Depends which part of the world you are in. I've never been sunburnt on an overcast day where I live.