We just finished building this system and did paint the barrels black:
A Spouse's Guide to Building the Perfect Rain Barrel System
To winterize the system here in the mild maritime Pacific Northwest, we're experimenting with tarped bales of hay stacked under and around the whole set-up to provide what we hope will be sufficient insulation to keep the water in the barrels from freezing.
Since we found all nine barrels originally for only five bucks each, we figure it's worth a try, as we don't want to have to drain the system for the winter.
I'd love to hear of any more "winterizing" ideas that have worked for your rain-barrel storage.