Depends on what the plants are that have been frost damaged. Annuals should be pulled and composted, perennials can have cold damaged foliage removed now or you can wait until after winter (early spring) to take care of all of what winter may offer and clean up for spring. For shrubs and trees, it is best to wait until spring when new growth starts to remove any winter foliage damage.

The answer is dependent on what kinds of plants you're talking about. For example, it's not always a good idea to remove frost damaged parts of some tender perennials or tropicals. Doing so would further expose the tender crowns and less hardened portions of the plant.

Also, some of the more cold tolerant annuals will take a bit of a nip and the roots might make it through the winter in our area. Sometimes it's worthwhile to just clip them back and mulch the crown to see if they come back in the spring. Usually, if a plant can hang until we start getting the occasional night in the 20's, I'll leave the root and see what happens in the spring.

Tender annuals that turn to mush at the first frost may as well be pulled out.

Any particular plants you'd like to ask about?