Sorry to resurrect this thread, but I thought I'd chime in, since I'm a flashaholic... I have never personally had an issue with 18650s performing poorly in below freezing temps. However, some people on the candlepower forums seem to suggest that it can damage the cell in such a way that reduces the number of recharge cycles you will have for the life of the cell. I'm not sure how much this differs with the different lithium chemistries.
There are some ways I can think of that you can mitigate the effects of this with your Zebralight. It's made an aluminum body that conducts heat well, so warm it up by holding it in your hands for a while before usage.
While not in use, keep it in a pocket of your baselayer, shell, puffy or the closest to skin layer to keep it at a higher temperature than it would be in your pack.
When the light is on at a high enough level, the LED itself should provide some warm conducting from the heatsink through the aluminum tube to keep the cell at least slightly warmer than ambient temp at least. LEDs get quite hot typically when driven towards their limits. When backpacking though, I typically use medium or low modes almost exclusively.
On the other hand, it's been said that CR123s perform quite well in very cold temps. Unfortunately all of the CR123s I've seen are only 1600mAh, while most current 18650s are 2600mAh or above, and of course expensive and non-rechargeable. :-/