Well I don't have a lot of experience planting them together but I just planted some together last week. Here is what I did.

-Blue Queen Salvia plugs put around yellow Golden Celebration

-Summer Blue Delphinium....very soft blue, shorter growing delphinium that only gets a little over a foot tall...planted the soft blue with the soft pink of Sharifa Asma.

-White Iberis on the side of the walkway in front of the reddish section of Mirandy, Double Delight, Baron Girod de L'Ain, and Paul Neyron.

-Pink Mist Scabiosa in front of yellow Charlotte and orangish/pink Carding Mill

-Mixes of purple/pink Columbine....kind of sporadically planted throughout the garden...they spread anyways when they drop their seeds.

-Early Sunrise Yellow Coreopsis in front of Pink Huntington Rose and mixed Evelyn.

-Artemisia...can't remember which variety, but the soft, fluffy variety that has a silver mounding and spreading habit...cool plant just to touch.

-Blue Lobelia around the side of pink Bishop's Castle

-Purple Echineachia or coneflower

-Mother already has purple phlox down

-Pink Digitalis put in the middle of the rose garden so the roses provide some support for the stalks and they kind of just "pop out".

-Blue Delphiniums...the taller 4'+ variety will go into the garden and behind a seat along the wall.

Irises, daylilies, lamb's ears, feverfew, foxgloves, coneflowers, and pelargoniums.
Renee

Most of those are annuals for me - delphinium (love them) never return for me, foxglove - same, scabiosa, pelargoniums, columbine like the shade so I don't put them in my sun gardens. I have echinacea and salvia and artemesia and just bought lamb's ear (helen von stein).

Anyone else?

I have a cl.Sky's the Limit in the 'point' of a quarter circle bed, fronted with orange lilies, a pink 'Joseph's coat', shasta daisies, and a calla lily, and the bed is bordered with lavender. (Odd pairings water wise, but in that location it works pretty well). Gives a good foliage contrast, and the lavender and joseph's coat set off the warmer colors pretty nicely.

In front I have a pink miniature climbing rose next to a blushing bride hydrangea, in front of a black lace elderberry, with white snow-on-the-mountain and Massachusetts kinnikinnick.

I love veronica for dark blue spikes of color. I also have scabiosa, alyssum (self sows!), portulaca, lobelia, and of course, the daylilies lived here before I started with the roses, so they share the entire garden. Oh yes, I like orange wallflower. Just pop in what you like.

I love climbers w/ Clematis.. I plant 'Black and Blue' salvia w/ The McCartney Rose and other pink roses. I love Shasta Daisies w/ Walking on sunshine-- the yellows pick up the yellow in the center....

I use color more than plants: I use blues w/ pinks. Whites w/ reds. yellows w/ purples.. I also use texture and herbs are wonderful for this and make great under-plantings.

Herbs, especially thymes, salvia (I have a huge wooly sage), and lavender. Speedwell does nicely. Casa Blanca lilies in the back of the bed.

Gingersnap (orange) with lavender or catmint.

Forget-me-nots, dianthus sweet williams, salvias. I may try those sweet alyssums in there this year too! They may be annuals here, but I hear they seed so readily that they may as well be perennial!

I like blues (Walker's Low catmint, Rozanne geranium, an self-seeding little delphinium that came with my garden) and some spikes like Colour Guard Yucca filamentosa. I also use a lot of a mild green-flowering nicotiana, and silver foliage like various Artemsia (wormwood, Powis Castle). I have patches of Iris (low and tall, and siberian). But the real companions are junipers and boxwoods, which impose order on the whole garden.

Ornamental grasses(karl forester) are a great backdrop for roses in my garden. In front of and around I like russian sage, moonbeam coreopsis, Salvia (may night), iris.

Last fall I planted a few Elephant Garlic in among the roses, they are fun to watch, their stems are upright one day, curvy the next. Right now they are in bloom, nothing spectacular but something different.