I cannot speak with certainty here, but I feel somewhat good about the use of Polyiso rigid foam board insulation. Two examples come to mind:
http://www.appropedia.org/Hexayurt_playa
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Brian Campbell's housebike // "Human Powered Space Program"
http://pardo.net/bike/housebike/000.html
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In both cases, you have a super small structure being heavily insulated - or in Brian's case, nearly as perfectly insulated as a space could be. Foam board goes up to two or three inches thick, with R-values stretching into 5 and 6. (Interestingly, XPS foam does better than Polyiso:
http://www.greenbuildingadvisor.com/blogs/dept/musings/cold-climates-r-5-foam-beats-r-6)
Brian, the man with the housebike says of the warmth factor in his structures (in a Portland OR winter):
"In fact, the sleeper box is so well insulated that the occupant's body heat keeps it warm all night long. "It's like the Bahamas within seconds, even in the winter," Campbell said, "though there's no condensation problem because of dehumidifying windows."
Not sure what these dehumidifying windows are, but it sounds like a structure like his would be basically like a big sleeping bag. Take the idea of a sleeping bag - a pocket of insulation your body can warm up - can nest it like Russian dolls in four or five layers, and you may be able to live without heat in even the gnarliest climates.
The reason I like the Hexayurt is because with this idea, you could build a small one inside a bigger one, or build a lavvu / tipi inside of one, and from there have a woodstove and some extra space beyond what Brian's bike home would offer. If you own the land your on, or have permission, or won't get caught, I'd even rent a Bobcat for a few hours and dig a little ditch inside of which your hexayurt would go. Earth-sheltered, XPS foam insulated, with a little woodstove? Hell yeah. I'd pile some rocks inside underneath the stove as well, and sleep with a hot water bottle and consume about five times as much fat daily as they say you should.
I may be doing this kind of this this winter - building a hexayurt inside a squatted trailer with stove.