
The Salvia genus is very large. It contains some plants that are annuals in our Zone 5/6 and other species of Salvia that tolerate Chicago winters at least as well as we do. Though most Salvias are perennial in their native range, a number are grown as annuals in northern Illinois... They're all lovely at the garden center, and it can be confusing to tell which are winter-hardy and which are not!
A number of gorgeous tropical salvias are tender perennials which cannot handle the coldest Chicago winters where the average minimum temperature could get down to -10F and -20F. Popular species of "annual" Salvia include: Salvia coccinea (Blood Sage), Salvia elegans (Pineapple Sage), Salvia farinacea (Mealy Cup Sage), Salvia leucantha (Mexican Bush Sage), and Salvia splendens (Scarlet Sage). There are also a number of popular hybrid Salvia which are not cold-tolerant, including Mystic Spires, Amistad, and Black and Blue. Check the tag (or the Plant Club detail page) when you're buying Salvias. Frequently the tallest salvias with the biggest flowers are "annuals."
Salvia nemorosa (Woodland Sage), Salvia pratensis (Meadow Sage), and Salvia x sylvestris are lovely groups of perennial Salvias in northern Illinois.
Plant Club team member Mary Jaminski says, "My favorite to use in my perennial garden is Salvia nemorosa 'Caradonna'. She has a dark purple color bloom as well as flower stems. I have several planted in a garden bed near a sidewalk to my front door. I am mindful to shovel snow to my turf grass yard and not onto the perennial garden bed."
Another team member Kate Refine says, "I love salvias - and if I can add my two cents - I love the perennial 'Wesuwe' Salvia. It is so vibrant and bright! It looks great with spring blooming perennials like Monarda bradburiana and *Baptisia*! And I second the one that Mary likes, Caradonna. It has a nice red stem which looks great even when it's not in bloom!"
The Chicago Botanic Garden has a great survey of their trial of perennial salvias.