How about considering Viburnum pragense that is similar to 'Cree' except that it has a finer, willow shaped leaf that is green on top and silver beneath? Holds its green color quite well in the winter. It should do OK in zone 5.
It may be too large for your space, but I deliberately planted a marcescent shingle oak (Q. imbricaria) between large windows on the house and a neighbor that sits higher and could view over the fence. It does the job with winter color that is dark brown. Not sure if columnar forms are available.
Sawtooth oak is another spring shedder with a brighter tan color, but doesn't hold up well to ice storms like shingle.
hortster

I agree with the species that have been mentioned thus far, except that I've not had Acer triflorum hold old foliage through the winter here in KY.

I'd think 'Cree' would think itself tortured to be exposed to central IN conditions - are you just mean?

V. x pragense and V. x rhytidophylloides selections should be more tolerant of your winter cold and winds, though I'd term them evergreens - not marcescent.

Among oaks, the several mentioned are good, as is Quercus pagoda (formerly Q. falcata var. pagodifolia) - Cherrybark Oak. To select others, visit nurseries in winter and pick out trees with old foliage hanging on. This trait is variable among some common and excellent species, like Swamp White Oak, Pin Oak, and others.

A great plant not yet mentioned: Vernal Witchhazel, Hamamelis vernalis. You get the bonus of fab fall color and fragrant late winter/early spring flowers.

Carpinus betulus will hold leaves all winter. It is often used as hedging in European countries.

Lonicera fragrantissima should be able to tough out your winters, and not be an invasive species while holding leaves for screening.

Thanks for the suggestions horster and viburnumvalley!

I've had V. x rhydidophylloides 'Willowwood' that I first planted in 1980. I've propagated them over the years and now have six full-size plants along with a few smaller ones. In our case, nearly all the leaves have dropped by the end of December. They're decent winter-time screening plants because of the number of stems rather than foliage. I remember reading about V. x pragense when I bought the 'Willowwood', but have no recollection of why I made the choice I did 31 years ago. I'll have to take another look.

I bought the 3 small 'Cree' based in part on comments by someone here on Gardenweb who's located in eastcentral Illinois and seemed to be having success. I've planted mine along the west edge of the property rather than at the street because they're very well protected from westerly winds in that location. Plus, they'll get only morning sun in the summer and somewhat filtered sun through mid-day in the winter. It's a calculated gamble and I hope the plants won't think me "mean!"

I forgot to mention my Lonicera fragrantissima! I planted 3 in 1978 in a bed of crushed limestone along the west edge of our property. Only one survived, but it has thrived and I actually took a small division several years ago and that second plant is also doing well. However, L. fragantissima is now on the Indiana list of invasive species. Even though I've never seen a berry on mine or any evidence of it spreading, I won't plant any more of them because of its inclusion on the list.

I've got H. virginiana, but not vernalis. H. virginiana works well for us, but not as a screen of any sort. I'll have to look into vernalis.

I'll also be looking at other oaks. None of the native oaks in our neighborhood (white, bur, red, michauxii, etc) hold their leaves, but my favorite nursery has mature (white and swamp white) that do! Of course, I need fastigiate trees because of the power lines and their overzealous tree-trimming contractor.