Hydrangeas have 1 of two types of flowering- those that bloom on old wood (wood produced last year), and those that flower on new wood (wood produced in the current year). My guess is that you have the former type and probably some cultivar of H. macrophylla. If the wood is killed during the winter due to cold temperatures, then they produce foliage but no flowers. One option is to give it protection for winter - wire cages with leaves or straw. You could also plant some of the newer cultivars that bloom on both old and new wood.
