Natalie said: I'd suggest buying evergreens from a local grower, who has already tested them out to make sure that they can withstand much colder conditions that are specific to your area.
I agree, although I would add that applies to any foliage habit because registered "dormants" can be winter wimps. I have grown, and have lost a few (but not too many), daylilies from all foliage habits here. I think I quoted this elsewhere but may be worth repeating, from the AHS FAQ page:
"The cold-hardiness of daylilies is quite variable. Some are iron-clad hardy. Others are extremely tender. Cold-hardiness is not determined by the foliage habit. Evergreen, dormant, and semi-evergreen can be anything from extremely cold-hardy to extremely tender. To avoid risk of losing a cultivar, choose daylilies which others have already grown successfully in your climate."