Annuals: Direct Sow Before Last Frost??

It depends. How's that for an answer? :-)

First of all, I'd poke around

and read about each of the things you want to plant. Some plants will put up with more weather nonsense than others. Specifics are learned through reading, but more through observing what goes on around your property in terms of mini-climates. For instance, if the foundation of your house gets sun on the south side, the area can sometimes behave like it's a zone warmer (at both ends of the growing season) than a different spot on the property.

Think about whether it's practical for you to build some sort of easily removal "tent" for covering seedlings when frost is expected. Take a look at this for a general idea.

An easier solution is to buy a roll of 6 foot fence wire, preferably the plastic coated kind (for rust resistance). It's $50-$60 for a huge roll, if I recall, but it's endlessly useful. If you bend it into a long rectangular tunnel shape, it's rigid enough to lift off the flower bed easily without flopping all over the place and knocking over plants. Cover it with plastic and you've got an easy way to protect plants from frost. Just remember to remove it before the sun's on it for very long, or you'll cook the seedlings. Home Depot sells large tent stakes which are useful for holding the wire structure down on windy days. Under two bucks each, if I recall.

Finally, consider the mechanical damage which can affect some seedlings. For instance, I would never start coleus, impatiens, browallia or other really tiny things outdoors. The sprouts are almost microscopic. Too easy to miss, too hard to transplant (easier sitting at a table).