Adding my two cents.
The first number in a multi-viscosity oil's rating is a measure of its grade at 40C (100F). The second number is a measure of its grade at 100C (212F). Keep in mind that at these temps, the viscosity range of each grade has a range. For example, a 30 grade oil has a viscosity of 9.30-12.49 cSt at 212F (or normal operating) temp. In theory, a 0w30, a 5w30 and a 10w30 are all in this band at normal operating temp. At lower temp (commonly thought of as W for Winter), a 0w30 will nominally have a lower viscosity than a 5w30 and a 5w30 will have a lower viscosity than a 10w30.
But, as is not commonly understood, any oil's viscosity when cold is way higher than it is when hot (think syrup when hot and cold). A typical 0w30 or 5w30 has a viscosity about 5-6 times higher a 100F than it does at 212F. To see this you need to review the product data sheet for the brand of oil you are interested. For example, Mobil 1 claims a viscosity of 64.8 cSt at 100F and 11.3 cSt at 212F for its 5w30. For comparison, AMSOIL claims a viscosity of 56.56 at 100F and 10.3 at 212F for its
AMSOIL Signature Series Synthetic 0w30. Both oils are in band for a 30 grade oil at normal operating temp, but when cold both oils have a viscosity about 5 times higher than they do when hot. Although AMSOIL's 0w30 is blended to have a little lower viscosity than the Mobil 1 5w30, according to the Mobil 1 product data sheet for their 10w30, its viscosity is an even lower 10.0 at 212F. So, not really accurate to say that a 0w30 is "thinner" than a 5w30 or 10w30 unless going deeper into the data.
Personally, I feel that other things like the basestock used and the levels of additive will have a bigger impact on wear and performance than whether you are using a 0w30 or a 5w30.
For those interested in seeing how the AMSOIL 0w30 has performed in LSx motors, I have these used oil analysis reports showing very low wear numbers:
Corvette C5 Used Oil Analysis Comparison: German Castrol 0w30 vs AMSOIL Series 2000 0w30 Cadillac CTS-V Used Oil Analysis – Mobil 1 5w30 vs AMSOIL 0w30 
