Some of the most cold hardy Opuntia cacti species (around zone 4) are Opuntia Polyacantha, Opuntia Macrorhiza, Opuntia Fragilis, and Opuntia Humifusa (Compressa). Opuntia Humifusa is native to the wet and humid Eastern half of the US while the others are native to Central US. There are some less cold hardy species native to the east as well.

I have watched one species for many years, probably Opuntia humifusa, located right under the drip edge of a roof in zone 5b. It gets an incredible amount of water, significantly more than I would have originally expected a cactus to be able to handle. It suffers from a severe case of rot early to mid spring but recovers quickly and does well throughout the rest of the grow season, in-spite of increased rainfall (roughly 3.5" per month plus an additional amount from the roof). I suspect this is from the ground being more saturated during the spring from ice and snow melt. Its poor placement has prevented it from flowering though.
Opuntia fruit, probably from the Ficus-Indica (8b) species considering it is the most commercially cultivated, have a strong flavor, similar to watermelon. They are very good, maybe even one of the best fruits I have had, but their tiny, hardly visible slivers or spines called "glochids" make it difficult to handle. Their seeds are quite hard but soft enough to be barely edible, which, in my opinion, further degrades the experience. I am unaware of whether more cold hardy Opuntia species taste just as good, but one site claims most of them, cold hardy or not, aren't worth eating.

The pads of some Opuntia Ficus-Indica cultivars are spineless, but I am under the impression that glochids are still present on the fruit.
Additional Reading
Prickly Pear Cactus Production