Our holiday travels took us to West Texas this past December. We experienced multiple nights below freezing (a few nights in the teens) and some days just above freezing. Just a note, I have a sealed underbelly but it is not winter ready (but the dealer said if we run the furnace then the pipes/tanks will not freeze)
The single pane windows had icicles' running down them on the outside from the condensation--Dual pane windows would fix this (ie, 4 season rig). no issues but you have to manage the interior moisture by venting the air periodically.
Fresh water: we filled the fresh water tank and disconnected the hose to prevent it from freezing. (We got stuck one time when the hose bib froze and we had no water) A heated water hose would fix this but you would have to protect the hose bib as well. No issues if you prepare.
Black tank: No issues
Gray tank: this valve is exposed and froze. I could not open it. Since were leaving, we used a blow dryer on it for 15 min (it was 15 deg that morning). Not too big a deal but I wasn't expecting it.
The furnace did run although we kept the temp in the high 60's. We use a portable electric oil filled radiator-style heater ($30 at walmart) and our rig was very comfortable even back in the bunkhouse. Similar to this Sears.com
That said if you have either sealed underbelly or heated tanks you should be ok, but you HAVE to keep that stuff running if you are in the rig or not. Or you could just dry camp...