What happens to an engine during a cold start in sub-zero temperatures?

Back in the 80’s a friend and I each had VW Rabit Diesels. Those damn things would never start after setting out all day in temperatures less than 20F.

I used to drive a '73 Mercedes 220D (a whopping 60 flywheel hp in a full size sedan). It was fine down to -10F without a block heater. While stationed in Dayton, OH they had a record-setting cold snap of -24F. It wasn't going anywhere that morning!
When I did get it started the next day (-10 again, then up to +10) it ran fine - but the mechanical temp gauge showed severe overheating (right off the top, and the highest mark was 250). The oil pressure was fine and the heater felt normal, so I kept driving... I made the correct diagnosis that the severe cold had frozen the fluid in the capillary tube, and the expansion caused a really high reading!