I grew up a little north of Philadelphia. (Montgomery Co.) I don't know where you are, certainly there are colder parts of eastern PA than where I'm from, but you certainly don't NEED to insulate assuming good coop management.
That said, I generally feel (personal opinion) that if your coop has any reasonable amount of design features that will allow it to hold some of the daytime warmth into the night (even just a largeish coop counts as a design feature in this regard, as does a dirt or slab floor) then it is really useful TO insulate if you possibly can. It makes the chickens' lives, and your management, somewhat easier and more pleasant.
If you are not going to insulate at this point, I would suggest leaving the walls and ceiling 'open' (studs and rafters exposed) so that if you come across some cheap or free materials in the future you are all set to pop them in place without having to deconstruct anything.
Afterthought -- well actually the one time you for sure SHOULD insulate is if you have a metal roof with nothing but 2x4s under the metal (i.e. the metal is exposed on the inside of the coop). PA gets easily cold enough to have condensation (and thus humidity) problems if you leave a metal roof 'naked'.
I agree with Patandchickens, I also insulated the walls and the underside of our roof since we used tin only, we live in the mountains of NC and is does get pretty cold here and lot's of snow, so while under construction the price for insulation was not a deterent and gave me piece of mind which is priceless. At first I did no panel insulation for the roof and had frozen condensation up there, but 2 extra vents and panel insulation against the metal roof and no more condensation and temps stay very nice in the coop now.
My coop is in a 12x16 shed that is 2x4 construction with regular pink fiberglass insulation. In addition, I wrap the run in clear vinyl shower curtains to keep the run snow free and to eliminate the wind. It had an unexpected benefit that my waterers no longer freeze during the day. I move the waterers inside the shed at night, and they stay warm enough to not freeze, even when it gets down to 20 degrees at night. The insulated coop typically stays 15-20 degrees warmer than the outside temperature. I added south facing windows in the main doors, and this greatly increased the warmth of the coop.