My climate is too hot to recommend things to you but, I suggest you contact your local chapter of the Rhodie Society in Mass.; email Susan B. Clark at sbc@mercury.lcs.mit.edu. The chapter's website can be seen in the link below. Luis

Here is a link that might be useful: Rhododendron Society, NH/MA Chapter

In no particular order:
A lot depends on your usual low winter temperature. Less than -10 is tough on all broad leaved evergreens. The relative windiness of your particular site is also important.
Consulting local growers about varieties is excellent advice. The "iron clad" hybrids, David Leach hybrids and many others are better adapted to Z5 than most.
What provides the shade? If you have shallowed rooted trees such as maples, summer watering will be necessary.
Leaf curling is a natural response to sub-freezing temperatures. If you hate the way this looks, rhododendrons are probably not a good choice for you.
Some studies indicate Wiltproof helps; others find it pretty much useless. Protecting rhodos from winter wind and sun with burlap or other barriers (especially for the first year or two) makes a huge difference. It is, however, labor intensive and some detest the look.
Finally, with more than 120 varieties, I obviously love rhododendrons. They are not, however, a plant them and forget them species. There are other shade adapatable plants both evergreen and deciduous, so filling the entire available space with rhododendrons may not be the best course for you.

I think that finding the right varieties of rhodies is most important. Like Mainegrower I have a number of rhodies, both evergreen and deciduous. I see quite a bit of difference in how the evergreen ones come through the winter, based as Mainegrower said, on both siting and variety. Also, those winters that get to -22 and windy, the portions of some of my rhodies (like the one I inherited with my house that I think is a "Roseum elegans") that are above the snow look rather frost-bitten for a few weeks until the new foliage emerges, but then they are fine for the next 10 months. Winters like this one where it was quite mild, all my rhodies look great, despite not having much snow cover.

The ones that I currently have that come through the winter with foliage looking best even in challenging areas are some of those with smaller leaves that have been bred for cold areas like PJM, Checkmate, or Olga Mezitt. The leaves of the first two are a nice mahogany in cold weather while Olga M is more olive green. However, the screaming magenta of PJM blooms isn't for everyone and is quite common in this part of NH. There are many others that I haven't yet tried and I'm adding a few every year.

A couple of resources that might be good to give you ideas include the search option for the ARS database, linked below. One of the options is to search for plants hardy below a certain temperature, and if you choose a temperature lowest than your coldest temps you should find they come through pretty well. It doesn't have every variety I've ever come across, but it has a great many.

Someone else linked you to http://www.rosebay.org/chapterweb/index.htm, the NH/MA chapter of the ARS. They have some slide shows of New England (including southern NH) rhodie gardens that might give you some ideas of varieties. They also have a listing of New England nurseries that you might find helpful.

And, as Mainegrower said, you don't have to plant only rhodies. I have some nice tall native shrubs/small trees that grow in shade, like Cornus alternifolia (pagoda dogwood) or Viburnum nudum and V. cassinoides, that while not evergreen, have nice winter branch structure and seasonal flowers and pretty foliage. There are also lots of other natives and non-native plants you can mix with rhodies to lengthen the season of interest and provide variety of structure and form.

Here is a link that might be useful: American Rhododendron Society database search

I also have a woodland garden in Southwestern NH. Last year Spring summer 2012, I planted 25 Rhododendrons/Azaleas. The rhododendron maxima (white) that I got at Project Native in the Berkshires came through the winter unscathed. They are deep green, almost looking like donkey-ears. I planted them in deep shade, pine/beech woodlands. I also purchased rhododendron maxima (violet) at Maple Hill Nursery. Half of them are doing well (planted shade on hill), half of them have the brown spots/shriveled (shade/on the flat). I also planted yaku prince in a woodland rock garden. The only one of those that is thriving (8 purchased at Home Depot on sale), is in a sunny spot. The other seven made it through the winter but with plenty of brown. So after composing this mentally a couple of days ago, I drove back to Project Native yesterday (round trip 5 hours) and bought four more Rhododendron Maxima, because I realized how important the correct type is.
Oh, also a nova zembla I planted five years ago in part shade is doing very well.

First, deciduous azaleas look good every spring with their new leaves and brightly colored flowers. Many dedicuous azaleas are very hardy. The maid in the shade azaleas are deciduous and bloom well in shady areas. They include:

Camilla's Blush (pink), Lavender Girl (pale lavender), Lisa's Gold (golden yellow), My Mary (pale yellow)

Some of the hardy shade tolerant rhododendrons include:

Boule de Neige (white) excellent foliage
Elviira (red) low grower from Finland
Nova Zembla (red) tolerates cold, heat, sun and shade.
Ramapo (violet pink) low
Red River (red)

PJM varieties:

Black Satin (dark rose pink) low
Desmit (pink) very low
Elite (bright pink)
Henry's Red (dark red)
Low Red Frilled (red)
Molly Fordham (white)
Olga Mezitt (peach pink) low
Regal (purplish-pink)
Victor (purplish pink)

Visit my website below to see photos.

Here is a link that might be useful: Shade Tolerant Rhododendrons & Azaleas