Pansies are the classic annual that tolerates frost and the stores will be full of them. Beyond that and harder to find sweet alyssum, violets (look at people's lawns in early spring and see how hardy the violets are), calendula, and cornflower are good choices.
The cold hardy ones tend to not like hot weather and fizzle out early. I replace the fizzled pansies with marigolds for the summer and fall. Then maybe put a few pansies back in fall to get through some of the winter.
Are you still having frost there, it's almost May! I plant pansies in early March, in may I will put the marigolds in.
2 days ago we had a night get down to 31, I'm guessing with frost. But our weather is way above normal, it's the second warmest April on record. I just don't want to risk buying anything just to have it wiped out by a random frost.
Pansies should be fine but around Memorial Day weekend or early June in the Minneapolis area it usually gets too hot for them and they get leggy and bloom sparsely. Alyssum will last longer but they are so small it takes masses of them to look like much. Bellis also tolerates light frosts well.
Nasturtiums will often last through a couple of light frosts for me. I've had them continue to bloom as late as November. Sweet peas are somewhat frost tolerant, as well. I plant both of these species well before our last frost date.
"Isn't it enough to see that a garden is beautiful without having to believe that there are fairies at the bottom of it too?" - Douglas Adams