quoted from a post at bobistheoilguy.com:

"I created this to clarify the myth that "5w-30 and 0w-30 are too thin!"
This was originally a supplementary write-up for my GC FAQ.

If you see any errors or have suggestions, please PM me.
(I'm sure there's room for lots of improvement.)


Thin Oil Myth
Created: April 10, 2006
Last Edited: Never

Disclaimer:
All the temperatures here are in celcius.

Short answer:
0w-30 and 5w-30 can be thicker than 10w-30.

Long answer: Read below.

Really Basic (but not so intuitive) information:

I'm sure we have all seen 5w-30, 10w-30, 10w-40, 20w-50, but what does it mean?
When talking about viscosities, you must state the temperature.

Lets break this up into two categories: hot and cold.

Xw-20, Xw-30, Xw-40, etc (HOT!)
This is your oil's hot viscosity. The viscosity is measured @ 100c.
This number is relative when the engine is warmed up.
The most common unit is cST. The larger the number, the "thicker" the oil.

Examples
A "30" weight is between 9.30-12.49 cST @ 100c.
A "40" weight is between 12.50-16.29 cST @ 100c.

Here's a table.


0w-XX 5w-XX 10w-XX, etc (COLD!)
This is your oil's cold viscosity. A 0w, 5w, 10w, etc, are not measured at the same temperature!
This is number relative when starting your engine.
The most common unit is cP. The larger the number, the "thicker" the oil.

Examples
A "10w" weight must have a MAX viscosity of 6600 cP @ -30c
A "0w" weight must have a MAX viscosity of 6200 cP @ -35c

Here's a table.
It never gets to even -15c here, so what's the start up viscosity for me?
Great question! A lot of us don't live in super cold temperatures.
Unfortunately, the oil companies don't have to tell you. All they need to specify are the extremes.
Can I know an oil's viscosity at different temperatures?
Yes! Aside from actually measuring the viscosity, you can do some calculations.
With a viscosity calculator and enough data, you can piece a graph together.
You can usually get all the data from the manufacturer's datasheet.
Take the calculator with a grain of salt. They are decently accurate in most temperatures, but I wouldn't trust them below -15c.
Why do they measure the cold and hot viscosity (cP vs cST) in different units?
Something about dynamic vs kinematic viscosity.
I won't go into detail here, because I haven't researched this.


Back to the point, "Why isn't 5w-30 or 0w-30 thin?"
I think a real-life example will help.

Lets compare Mobil1 5w-30 to Mobil1 10w-30.

First the Hot (100 c) setting
Straight from Mobil1's datasheet (Looked on April 4, 2006):

5w-30 = 11.3 cST
10w-30 = 10.0 cST

Looks like the 5w-30 is thicker! (Notice how both oils are a "30" weight)


Now lets look at the cold setting
Based on the 5w and 10w specifications:

5w-30 = 6600 cP or less @ -30c
10w-30 = 7000 cp or less @ -25c

Looks like 5w-30 is thinner than 10w-30!
We can conclude that:

5w-30 is thinner than 10w-30 at -25c.
5w-30 is thicker than 10w-30 at 100c.

The above implies that 5w-30 thins out less than 10w-30 as temperature increases.
Still confused? Maybe this graph will help.
The graph is just a learning tool, don't use it as an actual reference.
Reminder: this example refers to Mobil1. If you're curious about other brands, you will have to look at their datasheets.


Finally, my concluding remarks.

My main points are:

5w-30 can be thicker than 10w-30.
0w-30 can be thicker than 5w-30.
Unless you have tools to measure viscosity, you need to at least:

Specify a temperature.
Check the manufacturer's datasheet.
The cold viscosity tells you NOTHING about the hot viscosity.
Some things you might have noticed:

I haven't claimed an Xw-30 to be thicker than an Xw-40. At least at operating temps, any Xw-30 will be thinner than any Xw-40.
Everything I have said can apply to other weights within the same hot viscosity.

It's possible for a 0w-40, 5w-40, or 10w-40 to be thicker than a 15w-40 at certain temperatures.
It's possible for a 0w-20 to be thicker than a 5w-20 at certain temperatures.
MANY other factors about oil were not discussed here. Please don't base your oil preference on viscosity numbers only.
When in doubt, follow your car's manual. At least you won't void your warranty that way.


Credits:

BITOG, 'nuff said.
AndyH for the cold viscosity table.
427Z06 for the calculation info.
The countless number of names I have forgotten.

Thanks for reading!"