I am having trouble with it cutting out when you first start it after about 4 miles of driving it runs fine but the colder it gets outside the longer it takes to run right.

I would get your battery and charging system checked.

Mate I use to drive a freightliner and it cut out on me one day, I eventually got it started but cut out again after about 5 minutes, I rang a mechanic to come out and he found a heat sensor wire came off the radiator and that caused the motor to cut out... Hope I haven't wasted your time.......

Sounds as if you have a fusible link going bad. Headlamps run through different circuit.

if theres a knock when you start it and it goes a way after it warms up you may be a little low on oil or cuz its a chevy it just needs to warm up before driving naturally a bigger engines gonna take longer for oil to move through all the parts especially in colder weather. maybe even check and see if it needs a valve adjustment.

Do you own a scan tool ? One that shows engine sensor data parameters ? Checking sensor data would be the thing to do .
047 Engine Hard to Start or No Start Scan Data for Ignition
Check spec. to factory spec.
048 Engine Hard to Start or No Start Scan Data for Starting Problems .

I hope you find it. I have a 1993 with the same issues. I'm going to try the ignition control module.

How old is your battery? If it is the original 2006 battery now is the time to replace it. A battery needs to be replaced after about 4 winters. Cold weather reduces the battery capacity and makes it harder to start. If you wait the car may not start at all.

have the alternator tested and if you have over 40,000 miles check out the drive belt and i was working on my expedition and it was one of the coil pack on one of the spark plug that was bad and cause the truck to shake and miss

CHECK THE COLD START ENRICHMENT VALVE AND OR THE IDLE CONTROL VALVE. I AM ASSUMING THAT YOUR VEHICLE IS FUEL INJECTED. ONE OF THOSE HAVE GONE BAD.

Have a mechanic take a look at your throttle position sensor and engine idle sensor. Make him manually adjust them as opposed to just putting in new ones. It may require that you have to have a higher idle than normal. Your underlying cause is going to be that I am sure you have a lot of miles on your engine.