This happens when the air in the bottle warms up and increases pressure which tries to expand the bottle. To prevent this, fill the bottle with hot water, close it, shake it for a moment to let the air mix with the hot water and warm up, then open it just enough to equalize the air pressure, and close it tightly. As the bottle cools, its internal pressure goes down. External air pressure will try to crush the bottle. External pressure is less likely to damage the bottle than internal pressure.

It’s a legitimate fear as a wet sleeping bag could kill you in the snow, but I’ve ever seen an actual Nalgene bottle fail even when we tried driving a forklift and a bobcat over one. I did crack one with liquid nitrogen but I don’t camp at those temperatures :-).

I’ve been given bottles made from other plastics but I’ve always been dubious about them.

I have cracked the lids, but that takes a lot of work and an aged lid. The lids are made of a different, softer material which is more compliant to make a good seal. I do replace the lids every few years.

Speaking of getting your gear soaked (not): a good habit in the snow is to put a nalgene of water upside down into the leg of each boot overnight to keep them from freezing. I guess you’d be concerned about that too.