They do. I've personally never had a problem starting my engine, even in -40 (Celcius) nights in Canada. It sure takes a couple of seconds, but recent cars (>1990) all start just fine in extreme cold. Given your battery is charged, and your engine is in normal conditions.
Interesting tidbit: -40 Celsius is the exact same temperature as -40 Fahrenheit.
Nitpick: If you have a diesel, your car will not start at all if the engine is cold, but if you have a diesel and live anywhere where there's a risk of it being cold enough for hypothermia, you already know this. Also if you have a crappy battery, in cold enough weather it won't put out enough juice to turn over the starting motor (that's why there is a difference between cranking amps and cold cranking amps). But again, if you live in an area where this is an issue you should already know this, and your battery is probably rated to like -40.
I discovered this last winter when it got to -15 here in the UK - I was waiting for a diesel train from our local station that was 20 minutes late as they couldn't get it started.
It was interesting seeing electric trains too - the pantographs gave off amazing blue sparks that you normally don't get when the weather is warmer.
