The parking (or hand or emergency) brake on both the MKI and MKII has a tendency to freeze in position during cold weather. One of two things freeze: either the cable, or the callipers.
Yaargh. It's stuck.
If you find yourself with a stuck brake, try reversing quickly backwards a few feet, and then forwards a few feet. This may open things up. If the problem is the cables you'll have to wait for the weather to warm up! You may be able to release the calipers by nudging them with a rubber mallet.
Replacing the Cable
The cable freezes when moisture gets into the cable sheath if the cable seals are damaged or broken. This frequently happens on MKI's due to normal wear. If it's your cable that's freezing, you could try a new cable (around $40), which will have nice new seals to stop moisture getting in.
You could also try making your own cable -- cheap and easy: DIY emergency brake cable.
There is a plastic shield bolted to the bottom of your car which covers the cable seals. Frequently this cover gets removed, which causes the seals to corrode faster. So make sure you replace the shield after you've replaced the cable.
Don't use the Brake, Use the Gear
Easiest way to avoid this being a problem is to leave the car in gear, and leave the parking brake off. Putting the car in gear isn't hurting the car unless someone rams you or drags the car away whilst it's in gear. (1st up hill, reverse downhill.)