What kind of Hydrangea is it, Brenda? A florist's type of H. macrophylla, one of the more hardy varieties bred for landscaping, or a different species? The best thing may also depend partly on what is available in your area--such as straw, evergreen branches, pine straw, etc.

First cut off old wood at the base of the plant and any dead branches. Now lets make a cage for the plant. Place some stakes around the plant and wrap chicken wire around the plant to form a cage. Next fill the cage with pine needles or leaves to fully insulate your plant. Oak leaves work well because they do not settle. Keep an extra bag of whatever you use to fill in whatever settles during the winter.
A word of warning: Be careful not to snap off any branches as you fill in! This task must be done before the first frost and undone after the last frost. Good Luck!

Thanks, Eclectic! I would have been advising from doctrine, not personal experience! My fellow GoYers often let me answer questions from my fellow Americans, but that's often like a German seeking advice from someone living in southern Italy, because they are a European.