Lightly spun, lofty yarns create more insulating air space than tightly spun yarns. Wool is an excellent insulating fabric but may need dry cleaning or hand washing. Increase insulation when dressing for the outdoors. Down feathers, the old standby, are effective but lose their insulating quality when wet. They also require special care.
Some people object to down's bulky look.
New synthetic fibers are popular insulating materials. They are machine washable and come in many thicknesses and weights. Some are only a fraction of an inch thick, yet as effective as down or wool. Consider wind and water resistance too. Tightly woven fabric is more wind resistant.