Oils now-a-days are multi-viscosity oils. The first number is the winter rating. 0W means that it is extremely thin in the cold. 5W is a bit thicker, although not too much. 20W is pretty thick stuff. The last number, 30, 40, whatever, is the HIGH temp rating. The oil will conform viscosly to the operating temperature of the oil. The only thing you're going to notice with a thinner oil (0W/5W) is smoother startups, smoother idling, and better gas mileage because the oil will not thicken as quickly. The fact is that 0W-30 and 20W-30 reach the same high-temp level of viscosity, so it's not going to damage your engine or anything.
The reason you should use a thicker (5W) oil in the winter is because you don't want an EXTREMELY cold startup to occur with all your engine in the oil pan. So you use a thicker oil that stays up top in the head and block area and throughout the oil system. Cold startups like that are bad no matter what oil you use, hence block heaters for those crazy cold Canadians.
Manufacturers generally recommend 5W30 or 10W30 because they are oils that can be used all year round in basically any climate.