When temperatures drop to bellow freezing levels, sometimes what happens is that any water which is trapped in the sillcock or spigot becomes frozen and then expands in volume. However generally the temperature has to drop considerably below freezing because normally there is enough heat from the house to prevent this problem from happening.
When you experience problems with ice you will find that the result is fairly similar to when pipes under your home burst. Ice simply takes up more space than water does so it has to go somewhere. When it expands it causes pressure to build up and that pressure might be high enough to cause the seal to break.
After a cold snap and the weather becomes warmer, you will find that the ice melts and because of the pressure upon your spigot you now end up with a crack in it. It might not be leaking now but if you turn it on you will end up with something a lot worse than just a drip or two of water.
With an anti-siphon you can benefit from the fact that the above problems don't occur. There are added features which prevent bursting spigots because of ice expanding. There are some reasons behind this and how it works.
You want to make sure that your spigot doesn't become overly frozen so keeping the temperature up is beneficial for obvious reasons. By having the seal situated further up the sillcock you will find that it's then in the house which has a much warmer temperature. Additionally it can even take water way from areas which are experiencing a build-up of ice.
Another feature which really means you should have one of these is that it can easily relieve pressure in the event of any formation of ice. When water does freeze and then expand it will allow the pressure to ease off.
Sometimes however problems still arise when the weather isn't so cold and even -siphon spigots can leak from time to time in the area of the pressure-relieving spout or some other place. There are replacement seal kits that you can buy along with other replacement parts that you might need. These are available very cheaply for only a few dollars.