Moisture in the soil freezes and then expands and pushes the soil up and out, away from plant roots. Mulch interrupts this cycle by maintaining a steady soil temperature. Once your soil has frozen, you want it to stay that way until spring. The best mulch to use is largely a matter of choice, although you shouldn't use a material such as unshredded leaves, because they tend to form solid mats. Since moisture can't evaporate from under these mats, both disease and rot can become problems.
Snow is also excellent mulch in heavy snow areas.
Once you've protected the plants that will stay outside for the winter, it's time to bring in those favorites that won't survive, even with mulching. Gardeners have been growing pampered plants in pots for years and then bringing them into either a heated greenhouse or indoors. One common container-grown plant that is often overwintered indoors is a nonhardy fruit tree. In this room, dozens or even hundreds of orange trees were carefully pampered through the winter, often bearing fruit indoors during cold months. One important key to growing plants such as fruit trees in containers is to be sure you have the right size pot for your plant.