Bill
I have the same problem with my 870 Express Super mag. When it is below freezing, I can't keep any shells in my pocket. If I leave them in the box (goose hunting here) I have no problem. When I put shells in my pocket and then put the 'warm' shells in my gun, they won't extract when fired.
And yes guys, my gun is clean, including the trigger mechanism, slide, bolt.

so you say, but the gun is telling us something different... have you checked for a rough chamber?... there is no reason that fired shells should not extract just because they were in your pocket... the PBJ sammich you had in there didn't leak and leaving a residue on the shells is it?...

rock, interesting thought. Maybe in your pocket? I don't carry food in my pockets.
The old adage must be true. "It is better to keep your mouth shut and let people think you're an idiot, than to open it and remove all doubt."

If you think it's the gun lubricant thats jelling and making the action stiff , try squirting some lighter fluid into the action and work it clear . This will still leave a thin coating of oil that you want . A few fellas may think this is wrong , but all my gun oil is actually 10w30 motor oil which I thin out and it's always worked for me . I don't recall ever having a gun jam up because of cold .

Instead of oil, try some graphite. It's not liquid so it won't thicken or freeze. That or like the other guys are saying, check your chamber for either roughness or powder residue.

Careful with the lighter fluid. You may end up with your gun on fire after pulling the trigger.

I have had this happen before duck hunting. What I did to fix it was: I took the gun completely apart, then I put the entire breach assembly in my solvent tank. Extractor, firing mechanism, I mean everything. I let it set in the tank over night, then took a toothbrush to it. After that I blew it out with my air compressor. then re oiled, this is key, VERY SPARINGLY. Checked for burrs, and reassembled. I have had no problems since. Sometimes with new guns the cosmoline grease they use to pack the gun in gets into the hardest to reach places, and the best way I have found to get rid of it is the trusty solvent tank.

I just bought(last spring) 870 special purpose mag with Cant barrel etc. I've cleaned since purchase at least twice. Had the exact same problem 3 weeks ago during Jan Shotgun season. Thought I might of short stroked it? Brought it home and pryed a jammed shell out of tube.After reading this I'm gonna strip her down and clean it like she's never been cleaned. I have it sitting on bench ready for end of season clean up. GOOD INFO!

First off take your gun apart and clean the mag tube, what a lot of people don,t do! second sometimes when its cold a lot of people short stroke the action and ahave feeding and loading problems. just a th;o;ught vangunsmith

On new or used magazine shotguns, I've always cleaned magazine tube with a good bore solvent.
Buildup from too much oil over time or shipping lubes and then longer times on the store shelf will really cause buildup which can cause shells to stick. Especially in cold weather.

Try some Butche's Bore Shine and really clean the mag tube. Then lightly oil and then wipe out the excess.