If you're brave enough to venture out into these frigid tempuratures here are a few tricks to keep in mind when you're out shooting.
1) Warm Batteries = Longer Lasting Batteries
Although you may feel frozen to the bone there is a good chance that your body is still actually warm so keep your batteries close to it. I normally wear button up shirts that have a breast pocket and find this to be a good place to put them. I've heard of people putting them in their socks even!
While we're on the topic of batteries you should already be using Nickel Metal-Hydride (NiMH) rechargable batteries in your camera. If your still using alkaline or
2) Humidity & Condensation (IMPORTANT)
So you've been out shooting the best winter scenes you've ever shot, you're memory card is full and it's finally time to retire to the warmth of your house for some hot chocolate. If you do this without taking proper precautions you could do damage to both your camera and your lens (or both if the lens is not removable). While you were shooting your camera has dropped quite a bit in temperature and if you bring it inside a nice warm cozy environment all the moisture in the air is going to condense on all the cold parts of your camera. Your lens could get fog between the elements, your sensor could get water droplets on it which dry and leave marks. Essentially a bunch of things you don't want happening.
The solution. The easiest and most common method is to get a large sealable bag (i.e. Ziplock) and put your camera inside before you leave the cold. This way,when you get back inside, the warm humid air of your house (or warm car) is blocked from getting to your camera. Leave the camera in the bag for at least an hour and let it warm up gradually before taking it out of the bag. You might want to remember to take your memory card out of the camera before you put the camera in the bag though, otherwise you'll have to wait an hour or so before you can look at the pictures ;)
Remember, if you have other lenses with you out in the cold that you'll need to do this for every piece of "frozen" equipment.