You can use BEDOPS bedmap to identify SNPs that map to various sets of genomic annotations.

For instance, to get gene annotations, you might start with human GENCODE genes:

$ wget -qO- ftp://ftp.sanger.ac.uk/pub/gencode/Gencode_human/release_21/gencode.v21.annotation.gff3.gz \
    | gunzip --stdout - \
    | awk '$3 == "gene"' \
    | convert2bed -i gff - \
    > genes.bed

Once you have genes.bed and your SNPs in another sorted BED file (say, snps.bed), you can do BEDOPS map operations on them:

$ bedmap --echo --echo-map-id-uniq --delim '\t' genes.bed snps.bed > snps_over_genes.bed

Say we define proximal promoters as a region 1kb upstream of the gene. We can process the file genes.bed per-strand with awk and generate promoter regions:

$ awk '{ \
        if ($6=="+") { \
            print $1"\t"($2 - 1000)"\t"$2"\t"$4"\t"$5"\t"$6; \
        } \
        else { \
            print $1"\t"$3"\t"($3 + 1000)"\t"$4"\t"$5"\t"$6; \
        } \
    }' genes.bed \
    > promoters.bed

Then we map SNP IDs to promoters with bedmap:

$ bedmap --echo --echo-map-id-uniq --delim '\t' promoters.bed snps.bed > snps_over_promoters.bed

And so on, for other annotation or feature categories of interest.