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1. Line a large baking sheet with foil; butter the foil. Set aside. In a small saucepan, combine caramels, sweetened condensed milk, and butter. Heat and stir over medium-low heat until mixture is melted and smooth.
2. Using kitchen scissors, cut one-third of the marshmallows in half crosswise.* Place each marshmallow half, sticky side down, on top of a whole marshmallow. Press together gently. If necessary, spread a small amount of marshmallow creme between the marshmallow pieces to hold them together. For arms, insert a pretzel stick into two opposite sides of each whole marshmallow.
3. Dip bottom third of each of the marshmallow stacks into melted caramel mixture. Allow excess to drip off. Place dipped marshmallows on prepared baking sheet.
4. Place pistachios, coconut, toffee pieces, and/or nonpareils in separate small bowls. In another small saucepan, combine chocolate and shortening. Heat and stir chocolate mixture over low heat until melted and smooth.
5. Dip each caramel-coated marshmallow stack in melted chocolate, covering the bottom of stack with chocolate. Allow excess to drip off. Immediately dip chocolate-covered marshmallow in pistachios, coconut, toffee bits, and/or nonpareils. Return marshmallow stack to baking sheet. Let stand about 30 minutes or until chocolate sets.
6. Re-melt chocolate in saucepan over low heat, if necessary. Place snowmen on their backs. To make eyes and buttons, dip one end of a remaining pretzel stick into melted chocolate and dab chocolate onto snowmen. For a nose, dab on some chocolate and attach a small orange-color candy. Let stand about 5 minutes more or until dry. Makes about 26 snowmen.