It lowers the pour point, and reduces the chance of the fuel "gelling" in cold weather.
But at the same time it reduces the BTU's of a gallon of diesel, effectively dropping MPG. Between putting on snow tires on all 4 corners, and using "winter" diesel, I will see a 10%-15% drop in fuel mileage, maybe a bit more if it's sloppy out. Fuel alone will drop economy approximately 7% to 10%, depending on the fuel.
If I run summer fuel in the winter, I will treat it myself. I think the additives that I use are more expensive per gallon than what the refinery does to make winterized fuel, but I don't lose the mileage.