In cold weather it is beneficial to use an oil that has good cold start flow properties, as it will get to the parts of the engine that need it far more quickly.
These flow properties are given by the oil grade. The "W" number (which means winter) is the key here and the lower the better.
It may seem odd but a 15w or 20w will struggle to get around the engine in very cold temperatures and I would strongly recommend a 10w or better still a 5w for better cold start performance in the winter.
90% of all engine wear occurs on cold start because the oil gets thicker the colder it is - which causes engine wear.
These oil grade numbers explain it, and bear in mind that the oil will be the following thickness at 100°C (sae 40 = 14cst, sae 50 = 18cst and sae 60 = 24cst)
At 0°C these are the numbers (thick!)
If you are using anything more than a 10w oil, always warm the car properly before driving it as the oil needs time to circulate.