BrummBrumm's right. Don't let your tank get below half before you have a solid location to get gas.
If you go through Wyoming, stop in at least Cheyenne, Rawlins, Rock Springs, and Evanston for gas. You never know when the road may close and you want to idle your car to stay warm (hotels will be expensive, and possibly packed) in the small towns of Wyoming.
Make sure your car can handle the cold weather (get your Antifreeze checked, or buy a guage and check it yourself). Blankets, sleeping bags, etc are a must. Make sure your heat and defrosters are working before you make the trip.
One tip I have, that I figured when I drove 10,463 miles in 16 days two January's ago (all 48 states, see my site) is to carry a second key somewhere on your person seperate from the key you use for your doors and ignition.
That way, if you for some stupid reason lock yourself out of the car or lose your regular keys, you still have your spares on you.
Sykotyk