I just ordered Southern Magnolia 'Edith Bogue' (zone 5 according to waysidegardens.com) and will try to grow it in zone 5. I can't say enough how much I want this plant in my garden, at least for its large evergreen leaves. I planted one in zone 6/NJ and it has grown to a huge tree. When I was buying it, I was told it wouldn't survive. Well, I want to be proven wrong again. The closest to Chicago, I have seen Southern Magnolia in St. Louis. I have heard of someone growing succesfully that tree in the Chicago's western suburbs.
Other plants I miss are aucuba japonica and blue hollies. If you have success with those or other above-zone 5 plants in zone 5 (or colder) please let me know. Oh, just to add, I have been growing successfuly Pampass Grass 'Pumila', part of it dies every winter, but each year I get more and more flowers and the plants gets bigger every year.