Bipolar Si transistors and diodes don't work.
Shottky diodes usually work, their forward voltage drop increases
LEDs work, also with increased Vf and brightness
Most signal MOSFETs work. Many CMOS ICs work as well, including digital logic and a few op amps
Some SiGe transistors work and even become better (lower noise, higher gain and bandwidth). But they are difficult to tame and prone to oscillations in the
GHz frequencies.
Small signal relays usually work. I've used plenty of latching Omron relays for switching things in the cold.
Thin film resistors with tempco of 25 ppm/K or lower work fine.
Thick-film resistors made of RuO2 go up in resistance and can be used for thermometry.
From the ceramic capacitors, only NP0 don't freeze out. Forget about high-value X7R and the kind.
Plastic capacitors usually work fine. Panasonic ECPU are a good SMD series with PPS dielectric - others should be fine too (PET or PP).
Forget about electrolytic capacitors. Only Niobium ones work somehow, but poorly.
Most ferromagnetic materials freeze out. Some Vitrovac tape-wound cores don't. Interestingly, circulators work too, though no one knows exactly what kind of ferrite material they use (-:
Standard FR4 PCB material works fine.
Tin/lead solder works fine, but lead-free solder likely also will work.