Below is a timely excerpt from Just in Case: How to Be Self-Sufficient When the Unexpected Happens by Kathy Harrison. You can find more practical information for any season at Kathy's blog.
Thawing Frozen Pipes
In spite of your best efforts, your water pipes may freeze, especially in places where they are exposed to the cold, such as uninsulated spaces or exterior walls. If this happens, shut off your main water supply, so that if any of the pipes have broken they won't leak when they thaw.
You'll know when a pipe has frozen if you turn on a faucet and get no water. Usually, pipes freeze at certain points, rather than along their entire length. To find the spot where a pipe has frozen, follow it back to a juncture with a second line. Then turn on the faucets on this second line. If they work, the frozen section is between the juncture and the first faucet. If they don't work, the frozen section is between the juncture and your main water supply. Once you have identified the section of pipe that is the likely culprit, you can probably pinpoint the freeze-up with your hand, simply by feeling for the coldest section.
There are a couple of different ways to thaw pipes. If you have power and an electrical outlet nearby, you can heat the frozen section with a hair dryer or wrap it in a heating pad. You can also wrap rags around that section of pipe and pour hot water on them.