In colder zones, fig trees and certain shrubs like Hydrangea macrophylla, miniature roses, and newly planted roses should be provided with some sort of winter protection.
A good way to accomplish this is to surround the shrub with black roofing paper and carefully pack straw or oak leaves inside around the branches and stems. Use stakes to hold the cylinder of roofing paper in place. If the shrub is very wide, you can carefully draw the branches together with twine and then make your enclosure of roofing paper. The black roofing paper is ideal because it not only provides a wind screen, but it also absorbs heat from the sun and keeps the shrub warmer in the winter. You can use burlap in the same way but it doesn't absorb heat the way the roofing paper does.
Oak leaves are the best type of leaves to use as an insulator because they are more resistant to rot and seem to drain better. Maple leaves, sweet gum, and tulip leaves mat easily and get mushy when they get wet. They also breakdown faster than oak leaves. Pine needles are also an excellent choice for insulation.