I would think that paniculatas will perform very well in Zones 3-4. Arborescens will do well in Z4 but starts pushing it in Z3. Which types of hydrangeas were your trying? Did they have problems with the cold weather or something else?

I agree with Luis on the two types. I think that if you mulch well and have good snow cover, you can probably grow H. arborescens. Though it may have to grow from the roots each year, that won't be a problem since it sets flower buds on new growth. H. paniculata also sets buds on new growth, so for both these varieties, as long as the roots are hardy you should be fine. H paniculata (such as Limelight, Quickfire, and Pee Gee) likes full sun in the north, and H. arborescens (such as Annabelle) benefits from morning sun but some shade in the hottest part of the day and some shelter from strong winds.

I tired the French hydrangea. I also have a heteromalla that probably won't make it. I think it was from the cold. Where I live it will go from warm to cold quickly.

French hydrangea is a name I had never before heard for H. macrophylla, and it isn't hardy enough for zones 3-4. The only heteromalla I found via a web search is Tibouchina heteromalla, a tropical zone 10-11 plant. You would need to grow that in a pot and bring it indoors in the winter.

The two listed above should do well for you.

The only way to have a French Hydrangea growing in Zones 3-4 would be to grow it in pots and bring the pot inside during the winter months. That is what someone from north of Toronto told me she did for a camellia that she was growing. So, you could grow in containers instead.

Normally, French Hydrangea dies off to the ground when grown outside in Zones 4-5 but returns from the roots so people like to try rebloomer varieties. At zone 3, there could be damage to the roots. The problem is, sometimes, even these rebloomers do not reliably produce blooms. But, growing in containers and bringing them inside during the winter would work.