Liquid foam is also used in much the same way, especially on older homes so you do not have to tear the walls down. Lots of tiny bubbles of air. Air bubbles can also be introduced to the windows. Feathers are made of hollow fibers with a small number of contacts, much like fiberglass. They hold the air still.
Birds can tense their muscles to make the feathers stand up and thus hold a thicker volume of air.
Fat on whales, etc. is a poor conductor of heat. Hair is much like feathers. Goose bumps are involuntary muscle movements that make our hair stand up. Temperature regulation Animals need a certain amount of heat in order to stay alive. Some reptiles can convert radiation directly to heat, that is why lizards sun themselves.