Agave are a favorite of mine. Many species of agave are cold hardy to -10F and many more to 0F but the real problem is the length of winters. Many of the species have short winters and long growing periods. So with long winters the plants starve more than freeze, this can be altered with extra feedings in summer. Next the goal to getting a cold hardy agave is to find seed or plants from the farthest north in its range or the highest elevation it can be found. With all of these, you should have a really good chance of getting the margin plants to live in your landscape.