As far as usual hydrangea is concerned, we live in the inter-mountain western U.S. and we treat these as expensive annuals. They are only hardy to zone 8 (seen here:
http://www.thegardenhelper.com/hardiness.htm). If you don't mind lifting them in the fall you could probably try it.
With the exception of Peegee Hydrangea!
(Hydrangea paniculata)
Hardiness: Zone 3, some cultivars Zone 4
Bloom time: mid-July to September
Size at maturity: 10 to 15 feet (3 to 4.5 m) tall, 10 feet (3 m) wide
Native to China and Japan, peegee hydrangeas are very cold-hardy. Large, long-blooming cone-shaped white flowers that change to dusky pink in autumn, then fade to tan.
We've had one that's at least 10 years old and had winters to -30 degrees F. We do mulch heavily in the fall.
Sorry, I've never tried dahlias or the calla lillies. I think they are just to much trouble for our climuate. Best of luck, though...