There are different microclimates in every zone, so even your next-door neighbor can have plants killed by frost when yours are not. eg. If you are in a low spot it gets colder at night because the cold air pools down there. If you plant on the south side of your house, your plants may survive a freeze that would kill them if they were on the north side.
Sun intensity can make a difference too - it warms the soil more if the air is clear and there are no shadows in the middle of the day. If a warm day is cloudy, the soil isn't warmed as much. Zone 9 in California is a lot different than Zone 9 in Florida because of wind, exposure, altitude, air pollution, soil density and a lot of other differences.
Apart from all that, throwing an old sheet, a cardboard box or some frost cloth over young plants for an overnight chill can save their lives, too. I do that a lot in winter, as we do get the occasional frost even here. Above all, don't use plastic though, unless you can effectively "tent" it so it won't touch the plants.
