I'm with cyccommute. I've never really understood what all the fuss is about. The only steel is in the chain and cassette, and using a good, persistent lube (like our own FBinNY's
Chain-L) takes care of that.
As for shifting, the trick to keep it shifting is... to shift. I've not had problems, except in rare circumstances. I suspect it's because I use close-ratio cassettes and shift a lot to keep my cadence high, which I've found helps me keep balance in side-slip situations.
In the rare cases where the cassette has gunked up, it's because I was stuck behind pokey traffic and not shifting. This leads me to believe that those who report problems with gunked-up cassettes are those who find a favorite gear and stick with it, single-speed style, then change their minds after they've let the gunk collect.
I can see too where ice in the cables could be an issue, but thus far I've avoided problems there by shifting, and by using the newer high-end cables (Shimano OP-41 and OP-52 housing, and anybody's polymer/teflon coated cables) along with long-nose ferrules (Jagwire). Keeps the water out, and the silicone inside the housing with the teflon on the wire, means that even when water gets in there, it has a tough time making things stick.
As my STI levers have gotten older, the grease inside them tends to thicken at higher and higher temperatures. The WD-40 flush does the trick for that. I have a Dura-Ace left lever that now begins to stick below about 55°F. That bike has leather bar tape I don't want to replace just yet, so I put up with it. On the bikes with the plain-Jane bar tape, I didn't mind sacrificing the bar tape.
Finally, good fenders with mudflaps that threaten to brush the ground keeps the drivetrain a lot cleaner in all conditions, but particularly in slush.
...
Frequent shifting didn't really help me. It's not like stuff freezing was a constant problem but it happened every winter. It tended not to happen if it stayed cold. The most likely conditions for it to occur would be when there was a transition from slushy/snowy/wet weather to very cold weather. That's not all that uncommon here. A winter storm of some sort is often followed by a cold front passing through. And since our garage takes a day or so to completely cool off if it's been warmish, I'll sometimes have a bike that's still wet from the night before freeze up about a mile into the ride on a cold morning.
It's fair to say that I had more problems with the front derailleur than the rear and there is definitely less shifting happening there.
Aside from cable freezing issues, derailleurs do have plenty of steel parts that will corrode as do skewers and brakes. Rear fenders do them no favors as stuff tends to splash down from the fenders on to spinning spokes, cassettes, chains, and hubs and gets thrown everywhere. So even those parts that don't rust end up with grit in them. Anything with a hinge or unsealed bearing will not move so smoothly after a long winter.
A regular Spring ritual used to be spending a few hours cleaning up the rear derailleur. A couple of cheapies I decided weren't worth the effort anymore so I tossed them. Eventually I moved to an IGH largely for those reasons but I haven't escaped winter maintenance issues altogether. As has already been mentioned the cassette joint on an Alfine is an exposed moving part that needs attention and I've decided that an oil bath needs to be an every other year process.