The best cold weather cells are going to be lithium primaries. You don't have to limit yourself to the 123 format for that either. Energizer "Ultimate Lithium" cells have all the same advantages as 123 primaries; 10 year shelf life, leak-proof, and very high energy density. They'll also work in a wider range of devices, and can be bought in bulk cheaply just like 123 primaries.
Lithium-ion RCR's also perform well in cold weather. As above, you don't have to limit yourself to the 123 format. Many good quality lights these days that use the AA form factor can also use 14500 RCR's as well as most any other AA format chemistry. 14500's also have about a 5% capacity advantage over 16340 RCR's as well. They also fit in li-ion rechargers better too; as most require the use of spacers with 16340's that are easy to lose.
In my opinion, the only advantage 123 format lights have over AA format lights is that they can be slightly smaller. But, for single cell lights, the advantage is minimal. A Zebralight SC50 series light uses AA format cells, but is literally no bigger than 95% of all 1x123 format lights on the market. For two cell lights, you save about an inch in overall length for a 2x123 light compared to a 2xAA light. As a down-side, 2x123 lights can't also use a 1x123 body or 2xAA body like most modern AA based lights can now days.
For maximum versatility, I'd recommend a 1xAA light that can take multiple chemistries, so you can use most any AA format cell, from lithium primaries, to RCR's, to alkalines in a pinch... It's simply the best overall format for EDC lights IMO.