How bad is it to drive in weather below freezing

As long as your cooling system is properly protected (right antifreeze/water ratio), you should be ok. Although controversial, I like to let my cars idle for a few seconds (30) after starting, then take it easy (under 2k revs) until the car gets up to operating temperature. THe car should actually like the cold air, but once the car is warmed up.
 
I'd definately let it warm up for a few minutes first. I drove my '88 all the time during the winters in WI (weeks of consecutive negative temperatures) and never had a problem other than seemingly elevated power levels due to the denser, colder air.
 
Pfft thats not cold, right now it is -20*C, -4*F I guess. I dont think it is overly hard on them as long as you use an appropriate oil and give it some time to get warmed up before driving it. As said before also make sure your coolant is up to snuff. Although all this being said as mine sits on block in the backyard hibernating for the winter, salt and icy roads being the cause.
 
The recommended method is to let it idle for ~ 30 seconds and then drive easy till up to temp. This warms the whole car up (not just the motor, but the drivetrain, etc) and does it quicker than letting the car idle stationary.