The most reliable zone 5 hardy sages are those from alpine Europe, like the S. nemerosas and S. pratensis. Others from Eurasia will also do well.

Of the New World sages, the hardiest are forms of S. greggii, S. microphylla, and S. guaranitica. S. azurea grandiflora and the west Texas form of S. reptans are hardy.

Of the greggiis and hybrids, `Plum Wine' is hardy, and I'd try Wild Watermelon, San Carlos Festival, and Hot Lips from the microphyllas, and possibly La Trinidad. Argentina Skies and Black & Blue are good guaraniticas to try in colder zones.