From the helpful book Culinary Herbs for Short-Season Gardeners, here is a list of herbs for the colder zones:
Herbs hardy to zone 2: Hyssop, juniper, Turkestan rose (Rosa rugosa).
Herbs hardy to zone 3: Agrimony, caraway, catnip, English chamomile, chives, upland cress, garlic, hops, horseradish, peppermint, spearmint, parsley (usually only lives 2 or 3 years), oriental poppy (although most sources list these seeds as inedible), dog rose (Rosa canina), garden sorrel and French sorrel.
Herbs hardy to zone 4: Angelica, lemon balm, bee balm, garlic chives, sweet cicely, anise hyssop, lovage, lesser calamint, mountain mint, garden sage, winter savory, French tarragon, thyme.
Herbs hardy to zone 5: Lavender, exotic mint hybrids (apple, ginger, orange, chocolate, etc.), large-flowered calamint.
Herbs grown as annuals: Basil, chervil, garden cress, fennel, fenugreek, scented geraniums, sweet marjoram, korean mint, mexican mint marigold, white and brown mustard (grown for seeds), nasturtiums, Greek oregano, rosemary, summer savory.
Annual herbs that reseed themselves: Borage, false chamomile, coriander, dill (to zone 3), pot marigold (Calendula officinalis), flat-leaved parsley, opium poppy (for seeds, of course).
Herbs that can be overwintered indoors: Sweet marjoram, Greek oregano, rosemary, thyme.