Modern air-to-air heat pumps work well in below freezing temperatures. The crossover point where the COP is 1 is something like zero Fahrenheit, but you probably don't care, since they automatically switch to resistive heating, or a hybrid mode depending on conditions and load.

At some point, as you head to colder climates, it makes sense to use a ground source heatpump instead. They're more expensive to install, but pay for themselves in areas with high heating bills.