Panicle and smooth hydrangeas are the best for cold climates, all the way down to zone 3. Because they bloom on new wood, cold winter temperatures won’t stop them from flowering. They produce their buds in the spring and bloom in the summer. While they benefit from extra mulch in the winter months, they don’t need any other protection (like covers).
While we don’t typically recommend bigleaf or mountain hydrangeas for cold climates, the Let’s Dance and Tuff Stuff series from Proven Winners includes reblooming varieties, which flower on old and new wood all along the stem. Even if some buds die back in winter, they will still flower for you in summer!