The reason to plug your car in is so the engine block and oil resevoir remains warm. When it is warm, oil can be pumped up to the top of the engine much more easily than when it is cold. It is critical to get oil throughout the engine as quickly as possible in those first few seconds of start up.
When it is -30, it takes less than an hour for the engine block to get as cold as the ambient temperature. In that case, you should plug your car in even during the day if you plan to use it.
The temperature at which you should plug in your car will vary with the type of oil you use. A full Synthetic oil will be more fluid at cold temperatures than a conventional oil. I use synthetic oil, and plug in at -10, but that may be over cautious, but that is OK since I dont end up outside more than a couple of nights each year.
Just because a car starts without being plugged in, doesnt mean it shouldn't have been plugged in. New cars will always start. When it is really cold (and the car hasnt been plugged in), you will hear the engine sounding different for the first 10, 20, or 30 seconds. That is because oil isnt lubricating the top end of the engine. In that case, you're adding a ton of wear and tear.
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