Also, low temperatures will tend to make a loose connection (such as a dodgy cable as described in this FAQ entry) act up more. Cold makes things shrink, and two metal conductors that are supposed to touch might not be touching any more when they are cold. So if your player has a problem with its cable crimps, you would expect it to fail more often in low temperatures.

Moral of the story: Do not leave your player out in the car overnight.