Horticulture magazine offers this list of perennials to dress things up a bit during drab winter months with their interesting evergreen foliage:

Cyclamen hederifolium (Zones 4–8): leaves emerge in fall and disappear in spring. In between, they form a low mat of two-tone green leaves.

Little brown jug (Asarum arifolium; Zones 5–9): silver-marked dark green leaves can be 6 inches across. Prefers damp shade.

Broadleaf toothwort (Cardamine diphylla; Zones 4–8): 3-lobed leaves are dark green with white veins on top and purplish underneath. Appears in fall and goes dormant in spring.

Evergreen ferns: try Christmas fern (Polystichum acrostichoides; Zones 4–9); marginal shield fern (Dryopteris marginalis; Zones 3–8); autumn fern (D. erythrosora; Zones 5–8); holly fern (Cyrtomium falcatum; Zones 6–10); variegated shield fern (Arachniodes simplicior; Zones 6–9).

Rue anenome (Anemonella thalictroides; Zones 4–8): forms a low cover of bright green, delicate-looking leaves in winter.

Blue spruce sedum (Sedum rupestre; Zones 5–9): groundcover for sun or shade, with succulent needle-like leaves.

I would add hellebores to this list. And my cinnamon fern seems to do well through the winter, though I have no idea why!