Two years ago my derailleur froze up on me after I road through a pretty intense ice storm. When I got home I looked like someone made an ice sculpture of the Michelin man. Thankfully it froze in the gear I use most so it wasn't a huge deal. After a couple of weeks the moisture must've worked out of wherever it was hiding and my derailleur started workinga again. Also, it was just my RD that froze up. My FD still worked, so I effectively had a three speed.

Last year it didn't freeze up on me at all.

My cousin also rides all winter and he swears by his single-speed. I have a single-speed bike too, but it's still too nice to sacrifice to the rigors of winter.