The only annual I plant in fall is Icicle Pansies. They reliably come back in spring no matter how brutal the winter. If we get an inch or two of snow, those sunny faces pop right up through the snow. The last few winters, though, they've been buried in deep snow all winter. I didn't get to plant any this year because of carpal tunnel surgery.
I've also tried ornamental cabbage but they never did well for long so I gave up on them.
Some of my established plants are still blooming now, even after hard frosts the last few nights- alyssum clear crystal, geranium Rozanne, aster Bluebird... That helps.