See my "cold coop" page, link in .sig below, for a lot more on coop temperatures, insulation, heat, cold-tolerance of chickens, etc etc.
It would be useful for you to insulate, although you do not absolutely need to. It will make your chickens comfier and your management easier, however, and if you should end up using a heat lamp (but see aforementioned page for discussion of whether this is really often a good idea...) it will save you money.
Easiest way to keep water from freezing is to buy or make a heated waterer base. A heat lamp over the waterer is much less efficient (you spend a lot more $ for a given amount of freeze-prevention), is more dangerous in terms of fire risk, and I really don't recommend it. If you prefer, though, you can just bring out fresh liquid water once or more per day, whatever it takes to ensure they have drinkable water available most of the time. (They don't need it at night, they don't drink in their sleep, so it is ok if water freezes or is removed overnight as long as you are out there with new water first thing in the a.m.)
Eggs don't freeze til, I forget, 27 F or so, and they take much longer than you might expect to get down TO that temperature... remember they start at a temperature of about 100 F (the internal temperature of a hen) and are half-nestled in a nice insulating bed of shavings or whatever you have in your nestbox. Collect them daily and you will lose few if any; if it starts to become a regular problem, bed the nestboxes more deeply, close off all but one or two boxes to encourage them ALL to put their eggs there (more time spent with a hen on them equals slower freezing), and collect eggs a couple times a day if possible/necessary. A frozen egg is not necessarily a total writeoff; even if you don't want to eat it yourself, if you cook it right away you can feed it back to the chickens for a high-protein treat.
Chickens are usually quite cold-hardy in dry draft-free air in a well-managed coop... they are not people. Just *watch* the chickens, see what they're telling you. If you see signs of frostbite on comb points, or they seem to be not moving around much or otherwise struggling, then they are too cold (or in the case of frostbite, often it's not temperature per se but too high humidity). Most breeds are really perfectly fine well below freezing, though, often MUCH below.
Good luck, have fun,
Pat