Where I live (and I always thought this was national) each pump is required to show the amount of ethanol. Here (SD - home of ethanol) things are a little backwards. Regular 87 octane (which never has ethanol) is usually 3 cents more expensive than 89 octane (which always has 10% ethanol). Super never has ethanol and is about 8 -10 cents more than regular.

So you can choose ethanol or not. One advantage of ethanol in the real cold weather (I mean real cold like -30 or -40 F) is that the ethanol absorbs water in the tank from condensation and helps to prevent freezing up of the fuel system.

I always use regular (no ethanol) unless it is well below zero. BTW extreme cold weather hurts mpg even worse than running the A/C. Engine runs cooler and the oil is thicker. On a real cold day I can warm the car up for 15 minutes then drive the kids to school and then drive to work and the temp gauge is still pegged on cold.

Of course in a small town that is only about 2 miles of driving.