Here is the annual/perennial categorization of the flowers that we have grown in our zone 5 garden:

Annuals

Agastache 'Tangerine Dreams'

Bouvardia ternifolia

Buddleia 'Orange Sceptre'

Canna indica (bulbs must be dug up and stored for the winter)

Canna 'Robert Kemp' (bulbs must be dug up and stored for the winter)

Cuphea 'David Verity'

Cuphea 'Vermillionaire'

Cuphea schumanni

Eccremocarpus scaber 

Fuschia 'Gartenmeister Bonstedt'

Justicia brandegeana

Orchid

Phaseolus coccineus

Russelia equisetiformis

Salvia 'Amante'

Salvia amistad

Salvia Bodacious Rhythm and Blues

Salvia chiapensis

Salvia chiapensis 'Elk Giant'

Salvia coccinea (This may occasionally reseed, but one cannot count on that in zone 5.)

Salvia cuatrecasana x guaranitica

Salvia darcyi

Salvia elegans

Salvia exserta (This may occasionally reseed, but one cannot count on that in zone 5.)

Salvia gachantivana

Salvia microphylla 'Hot Lips'

Salvia greggi 'Navajo Red'

Salvia guaranitica

Salvia guaranitica 'Argentine Skies'

Salvia guaranitica 'Black and Blue'

Salvia guaranitica 'Purple Haze'

Salvia guaranitica 'Van Remsen'

Salvia indigo spires

Salvia involucrata

Salvia x 'Jeans Jewel'

Salvia macrophylla

Salvia mexicana

Salvia 'Phyllis Fancy'

Salvia Purple and Bloom

Salvia 'Purple Majesty'

Salvia Rockin Deep Purple

Salvia Rockin Golden Delicious

Salvia Roman Red

Salvia rubescens subsp. dolichothrix

Salvia 'Silkes Dream'

Salvia Skyscraper Orange

Salvia Skyscraper Pink

Salvia splendens 'Giant Form'

Saliva splendens van houttei Burgundy

Salvia subrotunda (This may occasionally reseed, but one cannot count on that in zone 5.)

Salvia urica

Salvia waverly

Salvia 'Wendys Wish

Sinnengia sellovii

Stachytarpheta jamaicensis

Tecomaria capensis

Zinnia elegans 

Perennials

Aesculus pavia

Agastache rupestris (the hardiness here is marginal and could die in a cold winter.)

Buddleia davidii

Campsis radicans

Delphinium exaltatum

Lobelia cardinalis

Liatris ligulistylis

Lonicera sempervirens

Monarda didyma

Nepeta 'Six Hills Giant'

Salvia azurea

Silene regia

Silphium perfoliatum

Weigela florida

Reseeding annuals

These only need to be planted once, and will reliably reseed in your garden.

Impatiens capensis

Ipomea coccinea

Ipomopsis rubra

Nicotiana mutabilis