I find a light flaming with a blow-torch on the padlock can work wonders. Ditto warming the key in your hand. It's something I have to do quite often in the course of my work.
Pouring hot water over the lock will also thaw it out so you can open it.
Reasons not to do that:
--it makes a wet puddle on the ground right by the door (instant mud, which will then freeze into slippery ice.)
--the wet lock will re-freeze as soon as it gets cold again.
--getting wet makes the lock more prone to rusting.
Reasons in favor of using hot water:
--I don't have a blow torch.
--If I put a dry lock on, and take the wet one into the house to dry, it does not re-freeze.
--if the lock was already getting rained on, it will probably rust anyway, so adding more water will not make much difference.
--Convenience: in cold weather, I am probably carrying a jug of hot water to thaw water dishes, so it seems obvious to use that same hot water on the lock as well.
(I do not have a good answer for the "makes a wet puddle" problem, apart from maybe holding a bucket under the lock while pouring the water.)