I can talk about the cold weather concerns, since I'm in Milwaukee.
Last week, temps were dropping around -10 to -15 in the AM. My WRX never had an issue starting, she fired right up each morning. However, it did make ALOT of noise, like something was loose for about 30 seconds. I understand that might have been the turbo starving for oil. I always let the motor warm up before I drive anywhere.
The tranny is a different story. It does not like cold weather. Felt like I was driving a Kenworth, the short throw kit probably only made it worse. I also had issued getting it into 1st unless I was at a complete stop. This also went away after the tranny got warmer.
And yes, it really does suck gas money. I usually take "the long way" home because I want to drive the car a little more.