Mine usually come back too, Kabby but if we have really cold (for us) weather predicted I do throw on a couple of extra bags of mulch over top of where they're living. In this picture the ones with red veins (White Queen) are from last year and the others are new this year. We had a very mild winter, too.
Another surprise bonus daylily, don't know the name, but I'm pretty sure it didn't bloom last year. I'd have remembered those extravagant edges.