Never had any issues with freezing, but I have experienced some gelling over the last winter. The couple of times that it did happen, some anti-gel and fuel additive took care of it straight away.
On another note, there was a guy on the news the other day with a 1986 Mercedes with 211k miles that he was running on vegetable oil! He said that he switched to the veggie stuff about 4 years and 80k miles ago, and hasn't looked back since! The down side of course, is the obvious additional expense (the veggie oil is about equivalent to $4.00/gallon), but he says it sure does smell good!