If the weatherman predicts a freeze of any kind (as in air temperature lower than 32*F or 0*C, either disconnect and drain or "drip" the hose.
When water freezes, it expands. This is what causes the damage. Certain types of hose are more forgiving than others; your "garden-variety" (NPI) water hose, which is simply unreinforced vinyl, will usually stretch to the degree necessary to avoid freezing. However, if the water is normally under pressure, the hose will already be stretched a bit, then it will stretch more when the water freezes, and then when the water thaws it will remain stretched that much more. Eventually, given enough freeze/thaw cycles, the hose will fail.
Reinforced hoses are usually some rubber composite with nylon or metal mesh inside to provide some tensile strength. They're designed not to stretch as much, and so will actually fail faster in a freeze (when water freezes, it WILL expand; if "frost heaves" can destroy a house through water collecting in cracks or against walls designed to withstand tens of thousands of pounds of load, your average garden hose stands no chance).
If the hose normally has to remain connected, and disconnecting it is a pain, consider a combination of insulation and "dripping". Insulation will help protect the water inside the hose from the cold temperatures outside, so it will take longer to freeze; a quick "arctic blast" will be less likely to cause a problem.
Dripping helps in three ways:
First, moving water is much less likely to freeze solid; it will instead form smaller crystals that will be swept along in the stream of liquid water (this basic principle is how slushie machines work; you keep the liquid moving, and it will remain fluid even at freezing temperatures).
Moving water also causes pressure differentials in a pressurized water line; as the temperature drops, ice will start to form on the pipe walls and grow inward. As this happens, the flow of water becomes restricted. With the dripping end of the line relieving pressure on that end of the line, backpressure will build, forcing the water through the remaining gap at higher pressures, keeping the line open even if it's restricted.
Lastly, keeping the water moving, no matter how slowly, keeps water coming in from "upstream" to add heat to the places that are susceptible to freezing. Many people don't know this, but in addition to the energy needed to heat water (or that needs to be removed to cool it) by one degree, additional energy needs to be added or removed in order for the water to change state. To cool water from 2*C to 1*C requires removing 4.18 J/g of energy from the water; however, to go from 1*C to 0*C and actually freeze the water requires 334 J/g, almost 80 times more energy removed. So, water will remain liquid at ambient temperatures below 0*C until the system manages to remove enough mean energy from the liquid water to freeze it. As long you pump even a tiny bit back into the system by dripping the faucet to introduce warmer water, you can keep water liquid indefinitely until the temperature gets so cold that heat is lost faster than it is being introduced (at 0*F, about -18*C, unprotected outside lines are at real danger of freezing no matter what).