Literally:
"Whine" means to complain in a particularly annoying way.
"Snivel" means sniff one's nose as a result of crying.
However:
"Whine" tends to imply, as said before, the act being annoying.
"John whines about everything. It drives me crazy"
"Snivel" on the other hand tends to imply the act being pathetic, as if the person not sniveling is a "lesser person".
"Stop your sniveling! You're like a little girl!"