I LOVE seeing the Goldfinches perched on top of the coneflower and sunflower heads, picking out seeds. Cardinals try but they're usually too heavy and end up hopping around on the ground, hoping the Goldfinches will drop some seeds their way
The stems, left standing with seedheads and seeds pods, are also interesting when snow makes tiny piles on them.
I leave milkweed stems standing over winter -- the standing stems helps to protect the roots from frost/freezing. I'll pull them out or clean them up as they start to fall over in spring, just before or just as the new shoots are coming up. By then, the stems are thoroughly decomposed and they come up easily (sunflowers/coneflowers, etc need to be cut). It's part of my pre-emergent spring clean up, and they all add to the compost pile when compost materials are scarce.