The USDA Hardiness Zone map (see page 603) was developed by examining average minimum winter temperatures for various locations over many years. Each zone covers a temperature range of 10 F, and the lower the number, the colder the average minimum winter temperature for that site.
For example, plants hardy to Zone 4 should withstand the -30 to -20 F average minimum winter low temperatures experienced there. Those in Zone 9 on average experience a minimum winter low temperature of +20 to +30 F. Some winters are milder than others, so you might be able to grow a Zone 6 plant in Zone 5 for a few years. But it's likely that a severe winter will eventually hit and kill the tender tree, shrub, or perennial. The USDA zones don't take into account the idiosyncrasies of your yard. You may have a protected spot where tender plants will thrive outside their usual zone.