Choosing the right fuel cartridge is also helpful when using a canister in cold conditions. Contrary to popular belief, they are NOT all the same.
Canister stoves have some combination of n-Butane, isobutane, and propane.
Here are the relative percentages for popular canisters:
Primus: 70% n-butane, 10% isobutane, 20% propane
Peak1: 70% n-butane, 0% isobutane, 30% propane
MSR IsoPro: 0% n-butane, 80% isobutane, 20% propane
Snow Peak: 0% n-butane, 65% isobutane, 35% propane
Why is this mixture information important? Well, without some of the fuel in the canister being vaporized, there will be no pressure to feed fuel into the jet and your stove will go out. These fuel components all vaporize at different temperatures. n-Butane vaporizes at 31 degrees F. Isobutane vaporizes at 11 degrees F. Propane vaporizes at -43 degrees F. What happens when you use your stove at or below 31 degrees is the n-butane will cease to vaporize and all the propane and/or isobutane will vaporize instead and that will burn first, leaving just cold liquid (uselesss) n-butane in the cartridge that you can't use. Likewise, if you use your stove at or below 11 degrees, the propane will be the first to go leaving only isobutane and butane in a liquid form with no more pressure. So obviously you want to keep your canister warm OR you want to make sure you are using a canister which will give you the most burn for the conditions you'll encounter. In other words, you want less n-butane and more propane for cold temperatures.
If you find yourself stuck with a fuel canister that is inappropriate for the conditions and you need to run the stove, your best option is to warm the fuel.
Safe methods
keep it in your jacket
sleep with it in your bag
dip it in warm water
pour hot water on it
urinate on it
chemical hand-warmers
A more risky method is to construct a heat exchanger to draw heat from the flame down to warm the canister slightly. Overdoing it will result in your stove exploding so be careful.
Many stoves come with a hose attachement for the canister which allows you to invert the canister. This is beneficial because the propane (which will vaporize in all but the worst conditions on earth) will stay above the liquid butane and isobutane, pushing it down through the fuel line into the stove. This works best if your stove has a preheat stage - meaning, the fuel line must loop through the flame to vaporize the fuel before it goes through the jet - otherwise, you'll have a poorly controlled large flame. Either way, start with the valve as low as it will go before lighting the stove.
In the above list of canisters by fuel concentration, I ranked them from worst to best in terms of cold weather performance but if you have an inverted-canister mount, really any of the canisters will work just fine as they all have enough propane to keep the liquid pressurized when held upside down.