Zone 2 is a big challenge. Rhododendrons and azaleas like a well drained moist acidic soil with protection from winter sun and winter wind but some summer sun.

Only certain varieties will cope with this weather. The university of Minnesota has certain varieties it recommends for the cold climates. They are basically:

Northern Lights series of Azaleas
Rhododendron PJM and its siblings
Hardy native deciduous azaleas
Hardy mollis deciduous azaleas
Rhododendron mucronulatum
A native Wisconsin rhododendron species, R. lapponicum (Lapland azalea)
hardy hybrid rhododendrons from Helsinki University in Finland

If you have clay soil which has poor drainage, you probably would do best using raised beds with a good acidic soil rich in organic materials like leaf mold or peat humus. The height of the raised bed is to provide good drainage; it need not be more than 12" high since rhododendrons and azaleas have shallow roots.

Fertilizing is not necessary. If done, use a good low nitrogen fertilizer such as HollyTone in mid spring.

Some shade is good in summer, but protection from winter sun and winter wind is necessary if the plants tend to get winter wind burn.

I don't know if you have black walnut trees or butternut trees, but they are toxic to rhododendrons and azaleas. All parts of the plant produce a poison that remains in the soil and kills many other plants including rhododendron and azaleas.

One last precaution: if you do prune, prune immediately after flowering since next years flowers bud are produce around mid-summer. Pruning around mid-summer or later removes next years flowers.

Iowa has a good site on rhododendrons.

For more information refer to my website

Here is a link that might be useful: Azaleas and Rhododendrons for Minnesota

All the suggestions above are excellent, but from my experience, I would give absolute preference to a deciduous azalea. Evergreen leaves desiccate in harsh climates and look very poor for half the growing season. My personal prefence is for Northern Lights azaleas.
Winter and late winter shade is also important.

Thanks for the excellent advice! The links you provided were very helpful. The azaleas I am thinking of purchasing look much like Northern Lights. I have a raised bed in front of my house that I think will be good. I think I'll go for it!