I like the idea of straw bales around the coop (and run, too, I guess) for extra insulation and as a wind barrier. Getting my hands on straw bales shouldn't be too difficult since they're sold all over the place for Halloween and fall decorating. I always feel like I should be able to scavenge them from the alleys when folks try to get rid of them, but I guess the days I have available to roam the alleys are not the right ones!
I've also thought of doing something similar with bags of leaves. I have much better luck liberating those from the trash since leaves don't fall all at once and people aren't always cleaning them up right away, anyway. We have 2 mature trees in back, and one in front, but very little space to clear of leaves since most of my yard is mulched and planted with hardy perennials. (I hate watering turf grass; such a waste!) So, leaves that fall just get incorporated into the mulch for the most part. I use a LOT of leaves to protect my perennials after the first good freeze, so I often scavenge for them in the alleys and store them under the porch until they're needed.
I've actually thought about moving the Eglu and run under the porch for the winter, too, since it would get some radiant heat from the house and be totally protected from wind. But trying to figure out how to fit it in there -- and in such as way that I could easily keep it clean and get eggs -- is not easy.
As for the plexiglass idea, I was thinking more along the lines of draping a dark colored tarp over the coop, but not the run. Dark items absorb more solar heat, so I would think a dark tarp would keep them warmer inside the coop. I guess a clear covering would be good over the run, though. Hmmm...I have some old double pane windows scavenged from the trash that are sitting in my garage loft. Maybe the windows could be over the run portion and the dark tarp over the coop itself.
Electricity is another issue for me. I only have electric service INSIDE the garage (which is the closest to where they are now), and one outlet on the wall along the porch outside of my house. If I need to rely on a lot of electrical things to keep them warm or keep the water from freezing, I'll have to run extension cords quite a ways. Running long extension cords always worries me from a safety standpoint. I guess it's time to call the electrician and see if he can put some outlets on the OUTSIDE of the garage!