The plain white ones and 'Green Goddess' (Z aethiopica) tend to be evergreen over winter (though they can look a little raggy). If you can give them a micro-climate for a higher zone, and keep them damp-enough over winter, evergreen is possible. I'd make sure the terracotta was frost-proof, though. There's something about that little circle of frosted-off flakes around a treasured pot that quite sours the early days of spring:-((
The coloured ones (the elliott hybrids) definitely go dormant for me, usually falling over with the first frost. They're the ones with spotted leaves.