Spring. It gives protection plus you can see where it is growing and you can cut off the old stems and dead head the old flowers. To stop the hyndrangea getting too woody, it is best to cut off to the middle of the branch not near the top.
You can cut back your hydrangeas in spring - leave them over winter and even the dead looking stems and flowerheads will offer a bit of protection from the frosts etc. You shouldn't prune azaleas, but they can be tidied up immediately after flowering. They will then be starting to develop buds and leaves for the following year.