Sub-Zero is one of the best in the game in terms of movement with the dashes, the slide and good reaching fast aerials, this is often overlooked because he doesn't teleport (still better at it than some teleporters), doesn't have aerial stuff like Kitana or Tanya and GM players tend to bunker behind the clone so others don't realize how good the movement is, but Cryo makes this aspect of the character shine (out of neccessity).
You want to fight Cryo face to face, his game shines when he is at "start of the combat" distance or a step back from there. If he isn't working hard in keeping that distance outpoke him to death.
When he is half screen away it's very risky to zone him as he can slide under your projectiles and hit you. His EX Iceball eats projectiles like your EX Fireball (they destroy each other) so don't spam the regular one or he will omnomnom it for 30% midscreen.
Full screen it will be very easy for him to see your projectiles coming and slide under them but at least he won't hit you and if he was late you will recover from your animation first and will be able to throw him.
Your teleports will help outmaneuvering him (Tanya is one of the few characters better than him at movement) BUT don't get predictable teleport-spamming close to him or you will have Kori Sword Uppercut Salad. Instead use them to keep you safe in the air at the right distance and be unpredictable with your aerial fireballs so he won't know if he should slide to hit you on your way down fearing a late close fireball cancel (again, don't get predictable).
If you're not in the air, be sure to be right next to him and throw anything fast and safe you have (if he manages to punish you he changes the pace of the game, specually if you don't have meter) as he can't outpoke or outpressure you (even as Pyro).
As others said, use your breakers when he has used a bar. He needs those bars more than most characters so attacking his meter is almost as important as attacking his lifebar (and his meter building is extremely poor).
Hammer can be jumped over on block from most strings (the hitbox won't touch you until the animation is near the end so don't worry about physically touching it in the air) record the AI in practice mode and try it from different strings. His only safe Hammer cancel is F4 (all hail the F4).
If you can save some meter for wakeups in case he gets a combo. He gets a lot of momentum against meterless opponents after a combo.
So basically, try to get in, don't get predictable as he loves spamming of any kind (jumps, teleports, projectiles... he makes a living out of punishing stuff so don't make it easy) and outpressure him to death.
