In areas challenged by cold harsh winters (most inland areas north of USDA zone 6b),
http://www.usna.usda.gov/Hardzone/ushzmap.html
we have found the cultivars listed below to be a few of the better choices.

Zones 3-9

Gardeners in zones 3 and 4 should rely on the arborescens and paniculatta for their hydrangea requirements unless planning on growing in pots or containers to be brought out of hibernation after last frost. Though we have people growing our "Nantucket Nikko" in zone 4, none but the most dedicated gardener should attempt any of the macrophyllas or serratas north of zone 5 in a landscape setting. Container gardening on the other hand, can be a most rewarding and relatively easy practice for which the macrophylla and serrata are particularly well suited. Contrary to popular belief, most will perform well when restrained in a relatively small pot (10-12"), responding accordingly with reduced growth and stature.

For shrub-type (3-6 foot) applications in all but the most severe areas (zone 4, 3 with caution/siting), the native American arborescens 'Annabelle' performs well, having showy, white, mophead (snowball) style blooms on a lax, 3-4' bush arising from new wood late in the spring. Anyone of the many "paniculata" (white panicle flowers blushing pink with age) will perform well for taller,(7-18") "tree form" applications, or for more massive shrub usage.

Zones 5-6a

The quercifolia (Oakleaf) clan is often grown in zones 5 and 6 for their interesting foliage, stunning fall coloration, and exfoliating winter bark, occasionally blooming well when properly sited (sheltered light shade) in areas receiving hot summer temperatures.

For the less hardy pink to blue mopheads (macrophylla), you could try our Nantucket 'Nikko Blue' or the patented 'Endless Summer'. 'Endless Summer' is only available to us in a trademarked blue pot at a premium (8" pot = $28), and can usually be had much cheaper at your local mass merchant. A nearly identical cultivar, which performs the same in our field trials and predominates the landscape of Nantucket and Cape Cod, is our "Nantucket Nikko" (7" trade gal = $16). Our "Nantucket Nikko" varies from other 'Nikko Blue' only by being grown from known sources, found to be consistently hardy and floriferous. These cultivars and their look-alike offshoots, 'David Ramsey', 'Decateur Blue', and 'Penny Mac', have the best chance of flowering after surviving a harsh winter as they will often bloom on new shoots arising from the ground or lower down on the stem, sometimes blooming on the same years wood in the more southerly areas with a longer growing season. Some form of winter protection is advised for best results for any of these cultivars of apparent similar ancestry.

For lacecap type blooms, some of the better choices would be 'Blue Bird' (best chance for blue), Tokyo Delight (white, then blushing to rose), or 'Lilacina' (best chance for pink/rose). Additionally, the diminutive mountain serrata (18" - 36"), like the mophead 'Maiko', or the subtle 'Shirofugi' might be good choices for potted plants or a sheltered spot, given some protection during the worst of the winter, with the serrata in general doing better than most in zones 5b and 6 . Other lacecap varieties worthy of a try are 'Blue Deckle', 'Blue Billows', 'Coruelea Lace', Vietchii, and 'Tiara'. Several mopheads that will flower most years when well sited include 'Mme Emile Mouillere' (white), 'Mathilda Gutges' (dark blue, violet, or red), Mme Faustin Travouillon (pink, mauve, blue), and Generale Vicomptesse de Vibraye (pink to blue) . The involucrata are perhaps the hardiest of the lesser known species. Results may vary with some cultivars but most should perform well in zone 5, and with caution even lower. The same can be said for the vining anomala. with the subspecies petiolaris being one of the hardier. The species heteromalla holds promise here also, with new introductions finding their way into cultivation from the higher elevations of West Asia. Plenty of space is required as they will often attain heights of 15 foot.