I Have. Not until recently in this Accord, since I've only owned it since January. But in other vehicles, yes.
Chicago isn't cold enough to need anything more than a 5w, but I'd run a 0w anyway just to get better base oils.
The I'm only running 15w-40 because it's HPL 15w-40, and buying HPL is one of the few ways to ensure that the tighter number spread doesn't just give you really cheap base oils.
If I wasn't running HPL, I'd be running a 0w-40 Euro that's either Castrol Edge or M1 Euro FS.