In my Zone 7a garden, late winter is the season I do my pruning or cutting back of certain plants. The rule of thumb, for me, is to prune when the forsythia begin to bloom. This also signals that spring is almost here!
First in line are the climbing roses. Climbing roses don't have to be pruned, but I always cut mine back to about 2 feet tall this time of year. In doing so, I can remove old, dead canes and keep them at a height that won't overpower my trellis.
Next, are the ornamental grasses. In the winter, grasses turn brown. By cutting off the old growth, this allows the new growth to emerge more quickly. Once again, this doesn't have to be done, but I don't like the look of all the brown, dead grass in with my new, green grass.
The last plant I prune is my hydrangea. Different species of hydrangea have different pruning schedules. Hydrangea arborescens 'Annabelle' blooms on new wood, which means I can cut it back now and still get a great show of blooms in spring/early summer. Hydrangeas that bloom on old wood would not bloom if you cut them back in late winter. Again, this doesn't have to be done but it keeps the plant bushy and not scraggly.