I usually do it in the spring, when the forsythia blooms.

Wait until you get a hard freeze, not just a frost. That will keep you from getting new growth now. I prune any time between December and March.

Great. I thought I read somewhere that you should cut them back when you plant them, but it didn't seem to make sense to cut them back prematurely when winter is right around the corner.

I'll wait for a hard freeze, or winter/early spring.

British Clematis society's advice on pruning newly planted clematis....

Here is a link that might be useful: Pruning

The advice to cut back when planting generally refers to spring or summer or early fall, for areas with a late frost, when stimulating new growth is desirable. If a new plant is in bloom or budding I will wait and cut it back a little later.

Thanks everyone for clearing that up.

ians_gardener - nice summary.

Off topic question, would Clematis do good next to the ocean? I live just south of boston and worry that if I plant Clematis they may not survive the winter wind that comes off the ocean, thanks