Not really the colder burn with higher octane, it has to do with the rate of travel of the flame front.
Winter gas, though, is different than summer gas.
One of the main characteristics of motor fuel is the RVP (reid vapor pressure) value.
In summer, fuels with a lower RVP of about 9 are used. Having a lower vapor pressure means that at a given temperature, it will vaporize less. Since you have warm temps in the summer, you want a lower vapor pressure/volatility for the fuel, otherwise there would be a higher risk of vapor lock.
In the winter, its the opposite. RVPs as high as 15 are seen. If you used a low vapor pressure fuel in the winter, it would condense on the cold intake manifold runners and not atomize nicely.
In general, it seems that winter knocks about 2 mpg off most of us for city driving. Thats usually 30-40 miles on an XJ tank.
Highway wise, well, I managed 19.5 mpg on my last trip to west branch, in february..