Texaco Ursa 15W40, Shell Rotella-T 15W40, or Chevron Delo 400 15W40 changed every 2500 miles in my '85 6.2L K10, year-round. The engine's got either 160K or 260K on it, doesn't use excessive oil for a diesel, and still gets over 20mpg combined, so it must not be hurting it too badly!
As far as I know, the reason engine oil has to be changed at certain intervals is because of contaminant buildup in the oil. The contaminant particles that do the most damage to an engine are in the 2-5 micron range, but oil filters generally only filter out 10 micron particles. Thus, additives are needed to agglomerate - clump together - the small particles into clumps large enough to be trapped by the filter media. If you use a full-bypass filter in addition to the factory full-flow filter, you can filter out the 2-5 micron particles which means your detergent additives don't get depleted as quickly. Therefore, 10K or longer oil drain intervals are posible, even with "dinosaur juice." The main reason synthetics are recommended is because they don't suffer from thermal breakdown at high temps like conventional oils do, and they also retain their viscosity at extreme temps. Synthetic 10W30 makes starting an engine in subzero temps [b]much[/b] easier than starting the same engine with conventional 10W30 because the synthetic doesn't become more viscous as the temps drop. It'll flow much easier, which means bearings see more oil sooner upon startup, and your oil filter won't bypass in extreme cold and let unfiltered oil into the engine.
All in all, using a quality S-rated (for spark-ignition engines) or C-rated (for compression-ignition engines) and changing it regularly are the most important things you can do. If the API classification says SJ, or CG-4/CH-4, then it's suitable oil to use in your engine.