Tim, I always have stored my compressor in my unheated garage. it definately gets below freezing. In 13 years of onwership, I emptied the water out of it maybe twice, once this past spring and quite a bit of condensation came out. I have never had an issue with the compressor, even running it in sub-freezing cold temps other than the airchuck icing up, but that was also a function of trying to air up a tire literally in the snow, so that was completely on me being lazy.
For reference I have a bottom-of-the-line cheapo craftsman 20 gallon horizontal tank compressor.
As for air tools, I do nothing special, I am in the practice of oiling them after use regardless of time of year or temperature so I assume that is enough.