The engine will be fine -- it's a modern liquid-cooled engine and won't fare any worse than your car's engine. The main thing in the winter with any engine is that short trips lead to moisture buildup in the oil.
You probably wouldn't want to use oil heavier than 10W-40 (I use Rotella 5W-40 year round.) There's a temperature/oil weight chart in the manual.
I've noticed that suspension action can get pretty harsh, especially below 20 degrees or so. Fork and shock oil doesn't take kindly to low temps.
You'll also want to watch what you use to lube cables -- for example, a guy I know lubed his clutch cable with chain lube, which pretty much wouldn't let the cable move below freezing. The usual cable lube I use is meant for use on all vehicles, including snowmobiles, so it works well at low temps.
I've also run into issues with freezing moisture in the cables, linkages, and pivots. If you ride through the rain and then it turns cold overnight, make sure your throttle and clutch levers operate smoothly and the brake and shifter pedals move and spring back correctly before you start the bike.
Probably goes without saying, but double-check tire pressures in the cold and/or after storage. Make sure your valve stem caps are in place so moisture and salt don't get into the tire valves.
Plastics get very brittle in the cold, so postpone anything requiring bodywork removal until you can get the bike warm.
And, of course, you run an increased risk of corrosion from leftover road salt.
2002 Suzuki DL1000 V-Strom, Dark Metallic Space Blue
1983 Suzuki GS850G, Cosmic Blue
2005 KLR685, Aztec Red - Turd II.2, the ReReTurdening