The "W" in 10W-30 oil stands for "weight."
When you buy engine oil, it's important to know the oil's viscosity, a property that corresponds roughly to its thickness. The less viscous the oil, the more smoothly it moves through your engine and lubricates the moving parts. The best engine oils have a viscosity that is neither so high (thick) that it will barely flow or so low (thin) that it will slip through your engine like water.
There are two ways in which oil viscosity is measured: single grade and multi-grade. SAE 30 is a typical single-grade rating. That means that an organization called the Society of Automotive Engineers (SAE) ran the oil through a standardized tube-like device and timed how long it took, in seconds, to flow from one end to the other. The viscosity rating is the number of seconds rounded to the nearest multiple of ten. Thus, SAE 30 oil takes approximately 30 seconds to flow through the tube. This single viscosity rating is sometimes called the oil's "weight."
Unfortunately, oil changes its viscosity with temperature and the single viscosity rating only represents the flow of oil when it's warm. What if you need to start your car on a cold winter morning? The oil will flow more slowly, so the cold viscosity rating is important too. A multi-grade rating gives you both the hot and cold viscosities. For 10W-30 oil, the 30 is the same as the SAE 30 viscosity rating for warm oil, but the 10W is the viscosity rating for cold oil, according to a standardized rating system developed by the SAE for winter oil use.
And that's what the "W" stands for: "winter."