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A snipe hunt is a practical joke in which someone is taken into the forest to hunt for an imaginary bird (a snipe). While the person is out hunting for the bird, everyone else takes off and goes home. Atticus was failrly certain that Heck Tate was inside of the jail house, and that's why he felt comfortable sitting outside of the jail without a gun. The comment about the snipe hunt makes Atticus aware that the sheriff has been lured away, and that if he needs help...... well he's out of luck.