frost line in CT is 4 feet. i've put them at half that depth with no problems yet. theory being that the 4" pipe (in my situation, at least) does NOT completely fill up with water, like a plumbing pipe.
When using the pipe for downspots (or anything, really), be sure to have the the pipe lead the water out to "daylight" or a dry-well. The water has to have a place to go.
I've often seen people pay to have nice gutters and downspouts installed, only to have the water sit near their foundation. sometimes they can simply put on an extention and a splash gaurd, but if the slope of the land does not lend itself to that solution, they have to direct the downspot water under ground in a pipe and out to another area (be sure that other area is not on someone else's property, they may not like that