I don't remember ever having a problem, down to about -10°c I think that's as cold as I've gone though.
I've tried a good few stoves, I think my favourite was my msr dragonfly after I modified it to run reliably on diesel - but it was so loud when flat out, you may as well have struck up a little jet engine!! Which wasn't ideal for the morning cuppa on a campsite, especially if you had an early start.
I use an msr windburner now, I love it apart from the regulator which takes a lot of getting used to
I don't think I've used it below freezing yet though so can't comment on its ability in the cold
My biggest gripe with gas stoves is the lack of spread on the flame, many (most) you might as well use a blow torch! You end up with a spot about an inch wide on the bottom of the pan that's near red-hot and just burns any kind of food - their only real use is for boiling water
I suppose you could do a spot of plumbing with them if you had to