First, callas (Zantedeschia species) are not lilies at all but aroids - another of the dozens of plants commonly referred to as "lilies" but with no connection to the Liliaceae.

Z. aethiopica cultivars are usually rated as hardy to USDA zone 8, -15C or very slightly lower (increased hardiness once well established). They grow easily in the ground in my climate although the foliage melts into a nasty, slimy pile with the first hard frost. They can be grown anywhere in the garden that receives normal watering - they just dislike drying out. Full sun works but might require more frequent watering - they also grow well in part shade. Slightly acidic soil with a high organic content and good drainage is recommended.

'Black Pearl' and other strongly colored forms are hybrids and have much less hardiness than does Z. aethiopica. These are sold as flowering annuals or tender summer flowering bulbs in my area and do require winter protection. Many folks here grow them in containers that can be easily moved inside or some protected area for winter storage.