That's usually done after the electrical rough-in, but we'll mention it now to finish up framing. Fiber glass insulation is often used because it's easy to work with. Likewise, a 4mil or 6mil clear plastic vapor barrier is commonly used. Staple the vapor barrier to wall and ceiling framing. Also, tape any holes or rips made in the barrier.
Insulation provides comfort and energy savings.
That's fairly well-documented.