Lavender in Zone 3

I live in Zone 3B and am determined to grow lavender. I love everything about it. Two years ago I planted Lavandula angustifolia - it did not come back. I then had one plant of L. X intermedia 'Grosso', it came back last year and I dried the beautiful flowers. Naturally I was thrilled that it came back. Only, this year, it does not show any sign of life. This year I planted some Munstead and a Jean Davis lavender. How can I keep them alive over winter, so that I can enjoy them next year?

Even the hardiest lavenders can only survive winters in zone four. However if the winter provided a lot of snow cover then plants can often survive in zones a bit colder than they are rated for. You can help the snow to accumulate and not melt or blow away by covering the tender plants with a thick layer of evergreen branches or straw. Last winter was hard on plants that cannot take freezing and thawing because El Nino caused enormous temperature fluctuations.
Since it is very difficult to predict correctly what the coming winter will be like, you are far safer to winter such plants indoors in a cool room on a sunny window. In the spring, after the danger of frost is over plant the plant out for the summer-pot and all.