the cold could be it. if you start up your engine after its been pretty darn cold, the change in teperature might be enough to make it the glow plug die. (expanding and contracting metals in different temps). you may have just had a bad plug. has this happened before? a lot? if you are running your engine too lean it may damage the plugs. (leaner generaly = hotter, incase you didnt know)

dont take that the wrong way, i have no idea were your knowledge level on this stuff is. ive had mine for a year and a half now and im still learning.