They're typically perennials. Never seen annual ones unless they look like mums but are some other species. The typical fall mum you buy are only hardy to zone 4 at best.

They'll take a hard frost before they're done.

If you want hardy mums, get Morden Mums. There's also others that are hardy here, but I'll have to look them up.

Also try C. rubellum 'Clara Curtis' and C. coccineum.

Mums are shallow rooted so they need to be well-watered. You should mulch heavily and water very deeply before freeze-up.