There are various options depending on the type of plant. For perennials that die to the ground but may not be hardy enough to survive and return in spring I suggest a deep mulch with a blanket cover over the mulched plant to hold in soil moisture.
For shrubs and other plants that don't die to the ground and return from the base or roots, try covering with them with sheets, blankets, or a thick row cover fabric product. Allow it to extend to the ground and anchor it with bricks, board or some other weights. Don't wrap the plant like a lollipop but rather allow the soil's heat to rise up beneath the cover to keep them slightly warmer on a cold night. If you add a source of heat beneath the blanket such as a mechanic's light or the large bulb type Christmas lights it will do even better as these lights give off some heat which would be trapped beneath the cover.
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