The way I understand it, is that in modern oils, where the basestock has limited solubility, some additives might actually come out of solution at really cold temperatures, like -20F or below for extended periods of time. In an engine, this isn't a big issue, because the oil is heated and agitated every time it runs and everything gets mixed back together. In a bottle, some ingredients might drop to the bottom or rise to the top. If you pour in the whole bottle everything will be OK, but adding a partial bottle might throw things off a little. I have moved my stash indoors for this very reason.
Maybe I'm working with faulty information, but I feel safer keeping my stored oil above freezing.