This is a reliable website for a lot of questions, including pruning, about hydrangeas. Good luck.

http://www.hydrangeashydrangeas.com

Or ask here :-) All of those are very common varieties and we can tell you what you need to know.

Alice oakleaf - Hydrangea quercifolia 'Alice' - blooms on old wood (minimal pruning suggested), root hardy to zone 5 but can be bud damaged in cold winters or with late spring frosts.

Twist-N-Shout - Hydrangea macrophylla 'PIIHM-I', (tradename Twist-N-Shout) - blooms on both old and new growth. Should be root hardy to zone 4 but flower buds on older growth will be damaged unless winter protected (zone 6 or lower) and flowers on new growth may be very late or sparse unless afforded the same winter protection or until the plant is well established. (Same as its older brother, Endless Summer The Original)

Nikko Blue and Lemon Daddy are both cultivars of Hydrangea macrophylla. These also bloom only on second year (old growth) and so will require winter protection in your climate in order to have reliable flowering.

Generally, the suggestion is to prune any macrophylla as little as possible, siting it so it can grow to its full potential without obstruction. This reduces the possibility of removing any potential flower buds (which form in late summer) with any pruning. You can deadhead old flowers as you wish; otherwise I'd limit any pruning to just the removal of any dead wood in late spring after the shrub leafs out.

Some mopheads do not bloom reliably in your zone and will need winter protection to get bloomage for sure. ES, even though it is labeled as hardy to zone 4 in their website, appears to have blooming issues (meaning no blooms in Spring and Summer-Fall). So if you can first make sure that you are not over-fertilizing (should be fertilizing only once after any chance of frost has passed), make sure you have no pests (deer, squirrels, bunnies) in the area then try winter protection.

Annabelle and paniculatas develop flower buds on new wood in late Spring (in my zone) to early summer (in Z5) so winter kill of flower buds is not an issue with them. But you can use winter protection on them too if you want to make sure no stems get zapped in rare cases during the winter. I am lazy and would probably not winter protect them in Z5 since those two hydrangeas "should" be fine buuuuut, it may be important for some people and Mother Nature can sometimes throw a curve weather-wise (meaning MN might kill the stems in the winter but you still should get bloomage in the summer from new growth). I have a cousin in Chicago whose new-wood shrubbery once lost the stems during winter and she complained because other unaffected bushes were much taller than those plants which lost stems and which started all growth from the crown. Oh welllll. :o))

Alice -and all oakleafs- like moist conditions, are probably the most drought tolerant of the hydrangeas but they are still hydrangeas and, if made to compete with cacti, they will loose. LOL! :o) If they are planted in areas where the roots stay wet for long periods of time, they will develop root rot. But please note that I am referring to soil that drains poorly and drips water many hours after it rained (when you press a piece with your fingers). A single incident of lots of rain will not kill them but lots of rain, falling several times a week for several weeks or a month may cause problems if the soil does not drain well or if the water tends to not drain away from the plant.

On my first few years in my current home, I lost one Alice for that reason when we got hit by El Nino's torrential rains from March thru almost July. 2-3 inches per storm, several times a week. It rained so much that I never went to that location. Eventually, Alice sat in wet soil for way too long and I did not notice; I had to have a landscape company come in and fix places where water tended to accumulate. I now have other oakleafs in other locations.

For future reference to look up woody plants (and herbaceous as well) in general, the Missouri Botanic Garden's plant finder is quite reliable IME. It gives info specific to the cultivar as well as general info about the species. You can also use it to find plants that fit certain characteristics such as size, season of interest, hardiness, etc.

You might find this link useful. It's called Hydrangeas Demystified. It will help you identify your hydrangeas and how to care for each type. Hydrangeas Demystified