when it's bitterly cold (we get blow zero every winter here - and sustain it) I recognize that everything is more brittle and you can get condensation from rapid heating of metals. i've seen amps have issues from cold, the CD discs have fog on them, etc.
when it's near or below zero, i either leave my system off or just let the car warm up first. the amps won't see a benefit from warming up the car but the speakers and HU may. i have a garage so my car never gets too cold unless it sits outside at work all day.
luckily, this winter has been very mild. 40's on a regular basis when it's usually in the 10's.