A previous post talked about a foam cover and if you are in the home this is the best option ( aside from a frost proof valve ) if you are not there and using water this method is useless.

They look like a foam breast and attach to the valve with rubber bands and seal against the house. Or they have a string you tie around the faucet and then you cinch it up against the front of the foam. They work perfect and I have used many times for friends when I was unable to help them install a frost proof valve, which again is the ultimate solution.

Worst case and should be avoided is to wrap blankets/insulation around the valve with duct tape and let it drip, which usually prevents freezing.