Some varieties are hardier than others. The hardy varieties usually do fine, the worst problem is they can get a little winterburned (leaf margins turn white).

Boxwood shrubs have many problems. Do a search on the Shrubs forum under "boxwood" and you'll get a lot of info.

I planted 8 green gem (I Think) a few years ago the 1st winter they had a little leaf burn but after that they have done fine.