Depending on how cold it gets during the winter where you live, you may have to take special care of certain plants like roses so they don’t die out. Roses are typical plants that requires special attention during cold winters. Wrapping other evergreen types of plants with burlap is important as a wind screen. You may also need to add a layer of winter mulch at the crown of plants to provide insulation from the cold, yet providing drainage during rains.
Cover the base of your roses that require it with a mound of soil or compost. This will protect the rose and insulate it from the cold weather. It is best to research which roses need this.
Other kinds of plants like evergreen need a burlap windscreen to prevent them from drying out. You can use three or four posts around a plant to use as the support to wrap it with burlap.
Here is a video from KSRE Videos on protecting roses.
Here is a video from Dave Egbert on wrapping shrubs.