A new study supports that theory. John Hawks has the background.
The idea is that if Neanderthals were off evolving by themselves in the frigid North for a few hundred thousand years, they likely would have developed some well-honed genes for dealing with the difficulties of life outside the tropics. The fastest way for modern humans migrating out of the tropics to acquire traits optimized for surviving winters, or whatever, would have been to interbreed with Neanderthals.