Here's what I found online after trying to start my Jetta in very cold weather and being extremely frustrated that the key wouldn't turn:
Ever get in your car, put your car key in the ignition, and realize you can't turn the car key? It happens to everybody. Before you turn green, burst out of your blouse and rip the head off the key trying to force it, try this more gentle approach. Your car has a steering lock that clicks into place when you take the car key out of the ignition. This prevents thieves from being able to steer your car if they hotwire it. Sometimes the wheel is turned to just the right place to keep your key from being able to disengage that steering wheel lock. All you have to do is turn the wheel a little bit in either direction while you turn they key. Voila! Everything's moving again.
I'll try this next time...