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Do you mean turning the key at the cilinder? is this a recent issue? if that is the case maybe your cilinder is failing already and the cold just stucks it faster. Try replacing it.
Remove the cylinder, clean any grease (and by this time crud) out of it and lube with powdered graphite. Replace and things should move better in the cold.
Doing maintenance is an option, but i don't think it's just manteinance what that ignition needs... It sounds like there are parts in the mechanism wich are too worn already. But Grey's approach is more gradual, and might save you some $$, and maybe extend the life of the cilinder for a while. (personally i find replacing the cilinder not expensive, i would do that and be done with it). Also, breaking the key inside the cilinder isn't very funny (it isn't hard to take the piece out, but well...)
Wow thanks guys!! I really appreciate this website. I've been on here for a long time!! Only had a couple bad run-ins!! When it is warm or the sun is on it its fine. Just that morning turn!! When it sits overnite in the 0 Buffalo wheather!! Thanks guys!
To take the cilinder out, introduce the key and put the cilinder in the ACC position. Then, using a slim screwdriver (maybe a long nail could work too?) take a look under the steering column. Just below the steering wheel, there will be 3 holes for screws, leave those alone, there will be a another hole directing to the ignition, insert the screwdriver, pushing the button inside and pull out the cilinder at the same time, it should come out with no problems.
Try to remember the position of the key in the cilinder, as this position should be the same you should have the key in when inserting the cilinder back (ACC, remember?).