HERE'S WHAT I RECALL FROM CLASS
Oil viscosity is selected, in most cases, on two combined points:
The low viscosity oils (0-20) are perfect for cold weather, average driving use. Its thinner, so makes turning over the vehicle easier. Acts like 0 when it starts, acts like 20 when its warm.
If you're in Florida, it's a long hot summer, and you're racing your vehicle regularly, you'd want a 5, 10-40. The heavier viscosity is designed to offset the engine needs at high operating temps and prevent friction burn-off. Essentially, the heavier oil stays viscose longer at the high temps.
That's about all I remember from mechanics class.
If you're not racing it, you won't go wrong with lower SAE oils. Most people can't put the continuous use on the engine that would require the higher weights.