The very best thing you can do if your property allows for it is to have your coop face directly south, with windows on your south wall and a bit of an overhang. This allows you to get lots of sun into the coop in the winter, to maximize light and solar gain, but minimizes direct sun in the summertime. The typical old fashioned shed-roof coop works well, with the tall, windowed side to the south and sloping down to the north wall. The wind and weather tends to come from the north, northwest, sometimes northeast here, so that gives good protection on that side. Ours doesn't have any windows on the north side, but does have some ventilation openings up high on the north which can be closed off in winter.
We're in the Ft. Collins/Loveland area and, honestly, if you can possibly insulate your coop, you should. If you are getting cold hardy breeds (lots of feathers and very little comb) they'll probably be ok - they won't DIE without insulation, but you'll get some frostbitten combs and the cold will stress your birds. We insulated ours, and it stayed pretty comfortable this last winter - which was pretty cold! - and I rarely had to even worry about frozen waterers. And it stays cooler in this hot weather, too. Good luck!
PS: my neighbor insulated her coop this winter when she saw how much more comfortable it was in mine, and just put thick plastic sheeting over it, which worked perfectly well. We got all our windows and doors, and lots of the building materials from the recycled construction stores around here, and you can even find leftover insulation from building sites, so it takes more time, but doesn't need to cost a ton.
Edited by Nostalchic - 7/12/10 at 1:39pm