Here is the annual/perennial categorization of the flowers that we have grown in our zone 5 garden:
Canna indica (bulbs must be dug up and stored for the winter)
Salvia coccinea (This may occasionally reseed, but one cannot count on that in zone 5.)
Salvia exserta (This may occasionally reseed, but one cannot count on that in zone 5.)
Salvia subrotunda (This may occasionally reseed, but one cannot count on that in zone 5.)
These only need to be planted once, and will reliably reseed in your garden.