The big-leaf Hydrangeas are not dependably winter-hardy north of zone 6. Most H. macrophylla bloom on the old or the previous year's wood, so those big-leaf Hydrangeas that die back to the ground during the winter are not going to bloom. If you want blooms, you have two choices. You can give the plant winter protection or you can try some of the newer reblooming hydrangeas like Endless Summer. These bloom on both old and new wood so even if they freeze back they can still have flowers later in the season.
North of zone 6 you can construct a cage filled with leaves after the plants have gone dormant.
