There are a number of things that can freeze on your bike. Grease, lube and water all freeze. Biking in Heels has a nice post about her adventures in frozen shift cables.
I've talked to a number of folks today (that number is 4) who described a problem as "I'm pedaling and then all of the sudden the bike stops moving forward. Like it's not 'catching'." What's happening there is that the pawls inside either the freewheel or freehub body are getting stuck in frozen grease, and not able to catch, they can't help push the wheel forward. Here's the inside guts from an old freewheel:
That little guy is stuck down because of grime, not frozen grease, but it's the same idea.
Ok. So what do you do about stuck pawls? The easiest thing to do is warm it up a little. Just bring it inside for a bit. It won't take long, and it doesn't need to be in the warmest room in your house. Just wheel it in to an entryway for a couple of minutes before you roll out. It'll really help.