Yes. You should allow your engine to warm up a bit.
If the temperature is exceedingly cold, say -10c, you would want to allow an extra minute or two to heat up and even out the temperature between components a bit.
If you were to start you car in extremely inclement conditions and raced it full throttle up a hill with high load there would be a potential for differing expansion rates of material. The head gasket between the crankcase and the cylinder head could show weakness as the differing expansion expands one component a bit more than the other and over time weaken adhesion between the two surfaces resulting in a failure.
Another component of extreme cold is the thickening of oil. As @Nick.c stated. Thick oil can become an issue, it's difficult to pump and the majority of it's lubrication properties can be effected in extreme cold. Allowing the oil to heat and the various components to heat up is a good idea.
Additionally, since we are here, I would like to dispel some myth's about engine heating in the morning. There is quite a bit of attribution that IMO is myth.
Would like to clarify a few points of interest
There are several myths regarding why older engines are required to warm up slowly.
Carbureted engines needed to warm-up longer because of the carburetor.
Running a carburetor on choke doesn't ruin your engine. It will run rich. It can foul your spark plugs if it doesn't come off choke, it can build up a little extra carbon in your combustion chamber over the years but it will not damage your engine. In fact, there are a lot of benefits to your engine when it runs richer. The exhaust is cooler and it's easier on your exhaust valves and it lubricates the valve face impacting the valve seat
Allowing your car to warm up is a waste of fuel
That's what is called a Straw Man argument. The question was "How long should I let me car warm up in the winter?" The waste of fuel response is a legitimate environmental concern. That is not what this is about.
You don't have to warm up new engines they're made out of aluminum that was a procedure for old cast iron blocks.
Cast iron blocks don't crack when run from cold. False claim. Where are the citations on this?
When the engine first starts in cold weather, the oil is warming. The rings on the pistons are reseating, from being cold
The rings are reseating is not something that happens. They are already seated and worn in from use. Running the engine at idle and allowing it to warm will not reseat the rings.
your engine needs a chance to get the oil circulated through it
The engine has oil circulating in it almost immediately. This does not take but a moment. False claim.
The aluminum piston will expand quicker than the the steel cylinder liner and you would seize the engine.
Pistons are now made of hypereutectic alloy. Hypereutectic alloy has a lower expansion coefficient of expansion which allows for tighter tolerances than previous materials. There is point in mixing allows called the eutectic point where the mix of alloys becomes one and their lattice structures intertwine and they become 'one'. Of course this is overly simplistic explanation for the sake of this answer.
In short, piston expansion is no longer an issue with modern vehicles.