This is key to getting your key in and out of your lock when the mercury dips below freezing. It takes a few minutes to take effect. Unfortunately, it doesn’t always work, so I still carry another chain lock just in case. When all else fails, bring the bike (or lock) indoors for a few minutes. That usually clears it right up.
On Our Own Two Wheels 
Warm water being the classic; bike oil also works well; warm breath the emergency stand-in. But the most interesting I found was Italians using drops of (very good, extra virgin) olive oil, to good effect.
One has to be careful with locks. Dry lubricants – graphite and volatile spirit-based molybdenum treatments should be OK.
The usual rule is that only recommended products are used for the keyway and the lock mechanism proper. For brass lock mechanisms, oils and greases are best avoided. Brass is a soft metal that work-hardens with use, but sheds hard brass dust during normal use. Normally this dry dust will fall-out during normal use, but oils and greases trap the dust turning it into a grinding paste that leads to accelerated wear.
Mineral oil or vegetable oil should be fine for the rest of the mechanism.
Caution: avoid contamination of polymers [plastics] with oils, some are adversely affected.
If your lock has a cover for the keyway, using it will prolong the useful service life of the lock.
If your lock is frozen, placing it inside your coat for a few minutes may be sufficient to thaw it out.