USDA Hardiness Zones
Find out what the USDA hardiness zone is for your area.  (Excellent map which includes Canada and Mexico)  The zones are based on average minimum temperature. Mail-order catalogs should provide a range of zones for each plant advertised.  At nurseries, the plant's label should contain this information.  For example, your city is located in Zone 5.  If the plant is rated for zones 4 - 8, it should survive the winter in your yard. 
The zones are only approximate--due to geological and man-made features, actual temperatures at a particular location may be higher or lower.  Summer temperatures are higher in urban areas covered with pavement because the pavement radiates heat.  Temperatures are cooler in the summer and warmer in the winter near large lakes.  In the summer, the water absorbs and "stores" heat; in the winter, the water releases heat, moderating the local temperature. 
Similarly, geological and man-made features of your yard create small-scale variations in climate.  The south and west sides of the yard are probably warmer than the north and east sides.  Temperatures will be higher next to a brick patio or asphalt driveway.  Organic mulches (bark, wood chips, straw) insulate the ground, keeping it warmer in the winter and cooler in the summer. In the right spot, you may be able to grow plants that are not supposed to be hardy in your region.  Also, you can grow "tender" (not able to survive cold weather) perennials as annual plants; the downside is that you will need to replant every year.
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