I'm running Shell 15W40, regular oil (its a diesel oil) and I've had no problems. I actually ran it through last Minneapolis winter, but I never ran the car if I knew that it was below -10F. I think that for this winter I will put in 10W30, and it will be allright. I've noticed no oil consumption at all with this oil @ 103K miles.
If you're burning oil, then by all means you can experiment by switching to synthetic. But, if you're happy with what you have now, you can consider staying with regular oil. Saying that, I use Mobile 1 oil filters in mine, I read that the higher quality filters give better oil pressure, which is something that may come in handy on our engine.
Come to think of it, the only issues I have with the Shell 15W40 is that they sell it in Gallons, and not the large 5 Quart bottles. Also, I do have some engine chatter from the high weight oil.