When thinking about a Saxo running a very good 5w-40 synthetic oil (something like Pro S 5w-40), the oil will be providing very good protection between about 60C and 130C. If it was a lower quality oil, it would break down around 115C. The top of the range oils from Motul, Silkolene and Redline have an ester content. The ester content allows the oil to be more stable at higher temperatures which is why they are fine at 130C.
Synthetics are better at dealing with the higher temperatures because they were made for the purpose and mineral/semi-synthetic oils are modified to do the job. When mineral oils are taken from the ground, they are a mixture of molecules that are all different shapes and sizes. When you heat mineral oil, the smaller molecules which are more volatile basically evaporate off and get burnt. The problem is much less in synthetic oils because all the molecules are uniform so there are no smaller ones to volatise. Mineral oils also have more additives and many of them are broken down by higher temperatures.
If your oil temp is over 120C a lot of the time, you may need to go to a thicker grade oil, but something like a 10w-50 or 15w-50 instead of a 20w-50. If you think you need something thicker, but also want good cold start protection don't bother with a 5w-50 as they contain a lot of polymers to cover the viscosity gap from 5w to 50 and the polymers break down quickly so you end up with a 5w-40.
We recommend synthetic oils when the cars are driven hard for the reasons above. If you use mineral oil on a track, the breakdown of the oil, the volatisation and burning, and because mineral oils don't last as long anyway, it often means that you need to change oil at least after every track day or the engine wear can be pretty bad.
At lower temperatures oils are thicker (when people see 5w-40 they often think it is thicker when hot as it's a bigger number, but the cold and hot viscosities are measured on different scales) and as it is thicker, it won't flow around the system as well. Some companies recommend a 20w-50 oil for anything that is modified, but that is roughly 4 times as thick as a 0w-40 at 0C. That means it takes 4 times as long to get around the engine so that's a lot more time for damage to occur. Ester based oils are good for that as the ester content means that the oil sticks to the inside of the engine so there is always some there when the engine is started and the cold start wear is reduced even further.
Oil temps can be a pretty large subject so if I have missed anything, you may want to have a look at our technical articles here
http://www.opieoils.co.uk/technicalinfo.aspx
Articles to do with shear stability, synthetic oils and viscosity may answer what you need if I've missed it.
Cheers
Tim