I have had a few visits to this blog from people googling about cameras and cold weather. While I can't speak much about other cameras I can say lots about the Nikon D40. I purchased my D40 last fall and have had ZERO problems with it in the cold weather. I am very pleased with it's cold weather performance.
I use it in ALL weather, and when I say cold I don't mean 20F cold, I mean
-20F and colder cold. I only have one battery for this camera, and so far that is all I have needed. There are times when I go out in the country for several hours in temps well below zero and shoot at least 200 photos. I have never had any problems with the cold affecting the battery. As a matter of fact I have found that the Nikon D40 has exceptional battery life in all conditions. Using the built in flash does use the battery up faster, but it still has the best battery life of any camera I have ever owned (although I admit I have only ever owned 4 other digital cameras).
The Nikon 18-200mm VR lens also holds up well in the cold. At first it made me nervous to try and use it at -25F with blowing snow conditions but it has performed flawlessly.....even after dropping the thing on the floor in Juneau. I nearly had a heart attack. The fall broke the lens cap, step up ring and uv filter but the lens itself was unscathed.
A received a couple very useful cold weather photography tips from Seth Kantner. When shooting photos when it is snowing, you should allow your camera to become as cold as the air outside before you take it out of the case. That way the camera is cold and the snow will bounce right off the camera and the lens. If your camera is warm the snow will hit the camera and melt and cause water droplets on your lens that show up in your photos and can also get the camera wet and cause problems when it refreezes. The second piece of advice was, after returning home and going inside, allow the camera to return to room temp before removing it from the case. this avoids the camera becoming covered with condensation and possibly causing water damage. If I need the pics off the camera in a hurry I will quickly open the case and plug in the camera and turn it on and then zip the case back up before the condensation has a chance to form.