If your coop is draft free, then insulation really isn't a big deal. Having said that though, I do think it pays to have insulated if your coop has windows, because it retains the heat (from the sun shining in) longer into the evening. Or if you plan on supplementing heat, insulation is good, as once again, it helps retain the heat.
And I disagree with the previous poster about heating being a disaster waiting to happen. If you use sensible safety measures, and if you're merely adding a little warmth (not trying to create a tropical environment), your birds will be fine. I agree that if you're creating house temps and then your birds are thrust out into 10 degree weather, they're going to suffer (as would a dog/cat who is use to house temps.). But just adding a little warmth is not a lot different from the heating pads and such that some add to outdoor dog houses - just enough to make them a little more comfortable.
To add supplemental heat or not is a personal choice...chickens can survive amazingly cold temps. Draft free coop, keeping them in liquid water, and plenty of nutritious feed will make all the difference.