Herbaceous peonies are considered winter-hardy to zone 2. There are gardeners growing peonies in hardiness zone 1a! So if your climate is very cold, go for herbaceous peonies. On this website, those are all peonies that don’t have “tree”, “woody”, or “intersectional” in the name. You can also use filters on the left of the page to select herbaceous peonies, as shown on the picture below. (Herbaceous peonies are those that die down to the ground in fall and come back bigger and better each spring, for many years).
Itoh, or intersectional peonies are considered to be winter-hardy to USDA zone 4. I am hearing they grow happily zone 3b, too, but that would be borderline.
Tree, or woody peonies:
Some less hardy varieties may lose branches to extreme winter temperatures in USDA zone 5 (-29 C or -20 F); some hardy varieties can survive in USDA zone 3b (−35 °F or −37.2 °C). We can provide the general guidance, but cannot guarantee winter hardiness of specific varieties in specific climates. When in doubt, go with a hardier variety and/or protect your plant for the winter.
Rockii hybrids and advanced lutea hybrids are more cold-tolerant than some other tree peony kinds, so these are good choices for colder climates. Winter-hardiness of specific tree peony varieties might not be readily known, as most of the tree peonies we offer are quite rare.
USDA temperature zones (source: Wikipedia)
Canada winter hardiness zones (source: http://planthardiness.gc.ca/)