Occasionally, if the snow comes early enough (before the ground freezes--and it can freeze several feet deep in a severe winter), some crops, like Kale and Chard can survive the winter, although the chard bolts quickly since it is a biennial. I'm not sure about Kale. Parsnips actually like to spend the winter underground, and then get dug as soon as the ground thaws in Spring (usually April). The are much sweeter for the experience. I'm not sure how they do in areas where the ground does not freeze. Some things can be mulched to give extra protection. I know that garlic is planted here in the fall, just like tulips and daffodils, and being frozen doesn't seem to hurt it.
A greenhouse would be an ideal way of extending the season, but, unless one has an abundance of wood and lots of time to cut and split it, it is very expensive to heat. I don't have the time or the money, so I don't have a greenhouse.