During extremely cold weather any accumulated water in your car will freeze. This could be in your radiator, engine, trunk (yes, I've had water freeze in my trunk), or fuel system. One way to safeguard your fuel system is to make sure you always have the tank at least 2/3 full. On the chance that you have some water in your fuel system, keeping the gas abundant will decrease the risk of a freeze.
TIP: In really cold weather, keep your gas tank at 2/3 full or more.