Many types of seeds will survive the winter in the ground and sprout in the spring. After all, this is how it often works in nature; a wild plant sheds its seed in autumn and the seedling comes up in spring. That's why many perennial-seed packets will instruct you to "cold stratify" the seed before sowing it by storing it for several months in your refrigerator. This just recreates the winter conditions and the thawing that triggers the seed to sprout in nature.
(To help decide whether fall or spring sowing is right for you and your garden, check out the pros and cons of each in "Guide to Spring vs. Fall Seeding" at Ernst Seeds.)
To plant seeds outdoors in fall, follow the same steps you would take in the spring. Clear the area of weeds and grass. Try not to till the earth much, as it only stirs up potentially unwanted seeds and can damage or disrupt soil organisms. In cold-winter areas, wait until after a killing frost to sow the seeds, or at least until you're sure the growing season has ended. (You can keep it simple by sowing the seeds at the same time you plant spring-blooming bulbs.) In warm-winter areas, sow the seeds just before the rainy season begins, or from late fall into winter.
Often, seedlings won't appear until the spring, but if you do see them and you're in a cold area, mulch over them once the ground has frozen completely.
Annuals that can be sown in the fall are generally those that are known for spreading on their own by self-sowing, such as annual poppies, larkspur, love-in-a-mist and pansies. So-called "hardy annuals" also work. Biennials to sow in the fall are foxgloves, sweet William and hollyhocks, among others. For perennials, consider how and when the plant self-sows. Coneflowers (Echinacea), hardy geraniums, black-eyed Susans (Rudbeckia), asters and others drop their seed in autumn. These are good candidates for fall sowing, as are any whose seed packets indicate the need for cold stratification.
Image credit: By Dominicus Johannes Bergsma - Own work, CC BY-SA 4.0