Maybe starting indoors early is the answer, or buy plants instead of WS. If you have space indoors, some things are easy to carry over as house plants from cuttings, such as coleus. One plant over winter in a pot can yield many cuttings to be potted individually say in April to set out in late May.

I can't tell you what NOT to winter sow, but I can tell you what has worked for me for several plants. I have grown Verbena bonarensis indoors and it bloomed late enough that I wouldn't probably try to winter sow it, but seeding indoors worked fine.
Here's what successfully sows for me directly into the garden after bloom to return the next year:
annual poppies (bread seed poppies?) will bloom in July. Pretty flowers and the birds love the seeds.
Nicotiana - smells heavenly in evening in August until frost.
Cleome (though I wouldn't grow this again and have weeded all volunteers out due to rampant seeding, thorny stems, and and unattractive stickiness to the plant.)

Half- or Non-hardy perennials I have wintered over indoors and used again the following summer:
coleus
Fuschia magellanica
impatients
Evolvulus glomeratus 'Hawaiian Blue Eyes'
Begonia boliviensis

I have tried indoor overwintering various less hardy Salvias and though some have survived, none has overwintered well, so I am still looking for ways to keep these plant over, especially 'Black and Blue.'