Hardy water lilies will survive the worst winter you can imagine. I have seen hardy water lilies in Rocky Mountain National Park at about 11,000 feet.
Remember water lilies are only pretty weeds, invasive and obnoxious if left to their own devices. If you have planted them on the bottom in the bottom of a natural pond, you will regret doing that because they will cover your pond in short order. BUT they will survive. And survive. And survive.
You can tell the difference between hardy water lilies and tropical ones easily. The tropicals have stems that raise the flower far out of the water. The hardy lily flowers sit very close to the water, sometimes even touching it.
All water lily flowers live for about three days and then die. Another opens and so on, so you have flowers throughout the spring and summer.
If you have tropical water lilies, you must protect them in the winter. If you have a deep pond, you can lower them to the bottom and keep your fingers crossed. Here in South Louisiana, that's what I do. Our freezes are relatively short and rare, so our lilies are safe.
If you live where your pond may freeze solid, you can remove your tropical from the pond, remove its leaves, rinse the corms off and pack it in damp sand. Put it in the garage or somewhere that does freeze. You have about a 50/50 chance of saving your tropical. In the spring, simply pot them up again and place them in the pond.
Of course, the ideal way is to have a green house and store the lily in it. You can cobble together an 8' long box made of 1' x 12' lumber, line it with butyl rubber, fill it with dechlorinated water and your lilies will love you for it. You will have blooms early in the spring.
No matter where you live in the US, your lilies are dormant by now. They react to the length of daylight and dark as well as temperature changes. Don't worry, you will see them again in the spring.
