Like others have already hinted at, hydrangea macrophylla stems are sensitive to cold temperatures and late frosts. They will survive some winter weathers out there but mostly around zones 7 and warmer. The paniculata species produces stems that are more winter hardy, produce blooms late in Spring or early Summer (depends on one's location) and are more bloom reliable.
Hydrangea macrophyllas come in "two flavors". One produces flower buds only on old wood. The other produces blooms on old and new wood.
Macrophyllas that bloom only on old wood will develop flower buds inside the stems sometime after they bloom. This time usually falls around mid Summer to early Fall. The flower buds will stay hidden for winter protection in the stems and will open in early Spring. Thus, it is necessary to make sure the flower buds survive winter in order to get blooms (obviously, macrophyllas are root winter hardy and their roots can withstand the cold). If winter temperatures get cold enough to kill the stems or they do not get soil moisture, the stems die. In such a scenario, you get dead looking sticks in Spring and these never leaf out by the end of May to early June (that is usually the latest when you can expect leaf out in the northern states or southern Canadian provinces). To get blooms with these macrophyllas, you have to winter protect them from cold winter temperatures and from frosts (usually late frosts). That usually involves encasing them in chicken wire that is placed strategically such that the ends of the stems (where the flower buds are located) will be protected from cold temperatures. The inside is then filled with some material that will help protect the stems. Many people use dried out leaves but they have to be packed extremely dense and such large quantities that this material is sometimes unreliable since you do not know how much foliage is adequate. Some people now use organic mulch instead of leaves and reuse the mulch for other gardening purposes when Spring arrives. The problem with all this is that one needs to protect the ends of the stems but still cannot tell how much material to use. Some people fill the inside with mulch and extend the chicken wire barrier as far as possible since the more mulch in between the chicken wire and the stem ends, the more protection you get. But no one ever says how many inches worked for them or how cold their winter got so this can get frustrating. Then hybridizers develop the other flavor of macrophyllas. These produce blooms on old and new wood and are called rebloomers in commercial ads but they are actually remontant.
These rebloomers produce flower buds in late Summer to early Spring on the old wood. But they also produce flower buds on this year's new stems that start growing in the Spring. As long as these new stems get a chance to get tall and old enough to develop and open flower buds, one can either get the typical early Spring flush of flowers, get a mid Summer to early Fall flush of flowers from new wood or (if old stems were winter protected or one lives in a place with mild winters) one can get both flushes of flowers. I would suggest some of the Let's Dance Series rebloomers as most of them are very compact (3') and thus their new stems take less time to get tall/old enough to produce flower buds and bloom.
It is always best to provide 2-4" of organic mulch past the drip line all year around to protect the roots from temperature extremes and minimize the loss of soil moisture via evaporation. As long as the soil has not frozen, continue watering with some regularity. That can be once a week or once every two depending on local rains. Just stop when conditions suggest that the soil will freeze soon.
Hydrangeas are not fertilizer hungry plants like roses are. Giving them fertilizers keeps them in grow mode and awake. So fertilize only once in Spring using organic compost, composted manure, cottonseed meal or a general purpose, slow release, chemical fertilizer with a NPK Ratio close to 10-10-10. Do not use any fertilizers three months before your average date of first frost since you want the plants to harden off for winter and fertilizing late in the growing season will keep the plants in grow mode.
In addition to the weather, also consider trouble makers when you have flowering failures. Rabbits, squirrels and deer are known to eat the flower buds. However, if you do have pests that harm the plants, confirm that by visually inspecting the shrubs: you should be able to notice that something has been munching the ends of the stems.
Lastly, and less common, make sure that the plant gets some sunlight. Macrophyllas do best with morning sun only (until 10-11am) but will not bloom if planted in dense shade.
On the other hand, you can get past all this winter problem completely by switching to different species of hydrangeas. Hydrangea arborescens and hydrangea paniculatas are winter hardy to zone 3-4 and are very bloom reliable because they develop flower buds in mid to late Spring. Their blooms do not display the plethora of colors that macrophyllas have though and paniculata bloom form is different. They are panicle shaped and limited to two main types of colors: (a) start green, turn white and then begin to look spent or (b) start white, turn various shades of pink and then begin to look spent. Arborescens blooms can be lacecap form (but this is not heavily marketed) or snowball shaped. The snowball blooms come into two similar main types of colors as well.
In extremely cold zones, these two species can still loose their stems during winter but, new stems will develop in Spring and these usually manage to bloom as well. Some cultivars to consider: Arborescens - check out the Invincibelle Series and the Incredibelle Series (some bloom white and others a shade of pink; Invincibelle, Invincibelle Garnetta, Invincibelle Ruby, Invincibelle Spirit, Invincibelle Spirit II, Invincibelle Mini-Mauvette, Invincibelle Limetta, Invincibelle Wee White); Paniculatas - they tend to be large specimens but new releases are more compact (Bobo, Little Lime, Little Quickfire, Strawberry Sundae, etc)
