Once you determine the level of insulation you need, consider what type of insulation you want and whether you want to do the installation yourself. According to the DOE, batts are usually made of fiberglass or rock wool and are made to fit between the studs in your walls or between your ceiling or floor joists. Rolls also are generally made of fiberglass and are used to cover attic floors. Loose-fill insulation is blown into the attic or walls and can be made of fiberglass, rock wool or cellulose. ICFs essentially give you walls of concrete.
SIPs are panels which sandwich plastic foam insulation between two layers of a wood product.
You can learn more about these from the Insulating Concrete Form Association and the Structural Insulated Panel Association . Other alternatives to consider are posted by the DOE at its New and Alternative Insulation Materials and Products site. If you're in doubt where to begin, start at the top. If you want to find out if there's some financial help available, check out the North American Insulation Manufacturers Association's Simply Insulate site. It finds many electric and gas utilities offer rebates and assistance through residential energy-efficiency programs.