The buds are probably getting killed by late frost. Try some winter protection next year. There is many ways to winter protect. One is to put a chicken wire around it and fill it with leaves or pine needles. Another way is to bend over the plant to the ground, cover it with cardboard and put weights on it to hold it down. Remove it after all danger of frost.
Gary

Oh, I must be doing it all wrong! In the fall, it turns tan and the leaves get soggy. I have cut all of that off, down to just a few inches. I have new growth each year that comes from the ground. It really doesn't start growing until after the frost.

Am I supposed to leave the dead stuff in the fall and not cut any of it off?

Hi, I am quite new to Hydrangeas, but what I've learned here is that some bloom on new growth, and some bloom on old wood.
I found this:

'Most commonly grown hydrangeas bloom on old wood (last yearÂs branches). Hydrangeas that bloom on old wood set their flower buds in late summer or early fall to bloom the following spring. It is important that this type be pruned before the end of July to assure abundant bloom the following Spring. Do not prune 'old-wood' types in the fall, winter or early spring, because most of the flower buds will be re moved and few blooms will appear. (Cut blooms for arrangements any time)
The best-known species in this category is Hydrangea macrophylla. This group includes the commonly grown 'mophead' varieties with blooms of pink and blue and occasionally white. There are also many lovely 'lacecaps' that are in this catagory. In addition, the following are old-wood bloomers: H. quercifolia (Oakleaf hydrangea), H. aspera, H. serrata (such as ÂGrayswood and ÂPreziosaÂ), H. petiolaris and some other lesser known species. '

Hope that helps. I guess if they become soggy/unsightly you can trim off their leaves, just not their branches. There are also lots of posts around here that will show you how to overwinter the plants and protect their dormant buds.

Best, Lara

(Link provided is the source of the above quote)

Here is a link that might be useful: Hydrangea info