I live in zone 6 near Detroit, Michigan and have grown thyme, oregano, sage, and tarragon in my garden for years with no difficulty. I don't cover them and they do fine.
This year I have planted rosemary in a sunny place next to a large boulder. Hopefully this will be a microclimate that will provide enough warmth for the rosemary to survive the low temperature, ice, and snow. Just in case I have several more in pots that will move into the house for the winter.
I've had trouble keeping lavender alive but know many other gardeners in this area who have no trouble with it. This year a neighbor gave me one of her lavenders which is now thriving in my garden. We'll see if it survives the winter.