I've seen fellas spray their shotgun actions with WD40 only to have the actions malfunction after a few rounds. I agree, I think it tends to gun up parts of a firearm from the heat, burned powder, etc. quicker than high quality run oil.

I used to use Rem Oil. But stopped at least on semi-auto actions in cold weather. The teflon in cold weather seems to make semi actions more sluggish, less likely to cycle rounds properly. In cold weather and most other times in both my shotguns and rifles use minimal Hoppe's Benchrest 9 on the actions and blued metal parts only. I put nothing on the stocks only wipe down with clean cotton cloth.