We had a couple explode on us the last couple days, 2 while they were still attached to the cages. Luckily we had added the "crocks" to catch drips and provide them with access even when the water bottle nozzles are frozen. But... On to the winter water bottle tidbits!
Using crocks is great because the water may freeze, but they will lick it. For various reasons some people can't/don't do [large] crocks. We don't want large crocks with kits for fear of drowning (not much risk right now). We got small crocks we attached just under the bottles to catch drips. Just small dollar store tubs. Since the nozzle/spout on a water bottle freezes MUCH faster then the water in the bottle itself, it provides them with water access even in freezing temps.
The best bottles [in our opinion] are the flexible opaque plastic, for light reasons and freezing reasons. They will bulge and stretch with the water. But whether you use opaque or clear, leave some room at the top for expansion. Yes, this means your bottles will drip, but that's what we have the "water catchers". It will result in less split bottles.
Have replacement bottles on hand! Even if they are small soda bottles (20 oz work great, CLEAN OUT). Soda bottles are good because the way they are designed actually allows for freezing and expansion, that's why they have that cool shape (not just because it looks cool).
(Pictured is one of the transparent bottles that bit the dust. In the upper right corner and left center edge are a couple of opaque ones that survived yesterday's drop to 18 degrees F, and last night's drop to 8.