Zone 3 is tricky for herbs... for many things I imagine! Brrr. Both English and French thyme (culinary) are worth a shot. Others you might try: Chives (Allium schoenoprasum) which should work fine, as should echinacea (Echinacea purpurea), comfrey (Symphytum officinale), and catnip (Nepeta cataria). Most of the others, you'll have to do in pots or plant them for a while and then dig them up so that you can move them inside.
