Susan -
I have Lady Ferns in my garden and those seem to do the best in Zone 4... I have tried Burgundy Lace and the Christmas Fern with no luck up here.
Now on to my favorite deep shade plants... I have very little sunny if any after the leaves pop and I just found these plants below that are the best!!
--- Yellow Archangel 'Variegatum' -- yellow blooms in the spring and very pretty leave (a leaf like Jack Frost) btu it grown in a 12-18inch clump. Very Hardy in FULL shade.
--- Varigated Soloman's Seal - very Hardy
--- Bugbane
--- Japanese Spurge is interesting
--- Turtlehead 'hotlips' (blooms in the fall - pink - more like a bush I guess but mine is only 4 years old and has only gotten about 24 inches tall)
--- Corral Bells ( I love the variety - I have about 10 different varieties).
Enjoy!!!