It's better to leave the snow while temps are that low - as Perki says, it provides some insulation. But when you begin to see a thaw, I'd get out and help things along to reduce the weight on the branches especially of larger spreading shrubs. Leave the snow on the ground underneath as long as possible though - again, it's helping reduce the risk of freezing
Then it's a matter of seeing what has survived - you'll probably loose a few . But some careful pruning will revive some others. Take note of what has coped better and use that as your guide when thinking about replacements for any that are dead.
We had minus 20C here a few years ago when my garden was still in it's infancy and a lot of the plants were too young to cope. I lost some shrubs but many came through a bit bent and brown but a year later were thriving again.