The need to cover your plants for a northeastern winter will depend a lot on the plant. 

If the plant is fully hardy in your zone (please refer to the USDA Interactive Map to determine the zone in your area), you do not need to cover the plant and in fact some plants need to feel the force of the winter to become fully dormant, rest and prosper again in the new growing year.

If you have a plant that has been set in a particularly exposed area or is only marginally reliable in your zone, a variety of materials can be used to protect the plant.  A layer of leaf litter or fine mulch, for instance, can be used to top newly planted peony crowns and protect them from winter damage.  You can also make a column out of wire mesh or chicken wire and pack it with leaf litter to protect exposed rose canes in a windy location. Hay can be used in the same manner to add a slight advantage to marginal herbaceous plants during dormancy; clean this up completely in the late winter.  Fir boughs make an effective layer of cover for a garden bed or small shrub.

Burlap makes an excellent, permeable wind break to protect evergreen shrubs from over-desiccation in winter winds. Just don't pack up these plants too early (November is about right) and keep the barrier a few inches from the plant for continued access to sunlight. If snow-load damage is a concern, you can wrap the limbs more closely. If you are covering a deciduous shrub, the access to sunlight is not necessary while it is dormant.  For a smaller deciduous plant, an overturned plastic pot may work but will be more easily blown askew.

If you experience a late frost in the spring after plants have begun to emerge from dormancy, a product like horticultural fleece can be spread over the plant to temporarily protect delicate new growth.  Many plants that are common in the northeast will survive these assaults without any help whatsoever.

Watering well just before the ground freezes offers an important winter advantage for every plant, and is an essential step for evergreen plants.

These measures are not fool proof and will produce mixed results but may add enough protection to allow the marginal plants to make it through a cold winter. For plants that are not hardy or are semi-hardy in your zone, there is no alternative to moving them into a more protected space indoors (either in a cool cellar or near a window depending on the requirements of the plant) or treating the plant as an annual that will have to be replaced in the next growing season.

Courtesy of NYBG Plant Information Service