i'm still half way through building mine, but know what i'm using.
i've built the walls up using timber frames, i'm using 6mm double foiled insulation (bubble wrap with foil on either side) 6mm of this is supposed to be as good as 50mm of normal insulation
I'm putting one layer on each side of the walls, and sandwiched between these, i'm putting 75mm expanded polystyrene sheets, the ceiling will also have the 75mm sheets of polystyrene and a layer of the foil stuff.
i've just fitted a radiator in the room too for heating.
it should heat it well and keep it really well insulated, but as its not all built yet, i can't say just how well it works.