One warm room

Insulating one room is pretty simple stuff as long as you don't forget to make sure your pipes don't freeze.
Of course, it means you have to insulate your internal walls too, so you may be able to do the entire house for not much more!
I'll try to get something together on my blog, and post it here so that people can put their info in.
But briefly:
You have to sort out what your budget is, what the climate is- warm or cold summers, does it often go below freezing and how long for etc, and what the construction of the house is.

If you live in a climate which can get hot in the summer the first thing I would consider is an attic fan:
http://www.solarnet.org/AtticFan.htm
Solar Utilities Network: Attic Fans

Back to looking at the problem from cold:

Check for drafts first - they can pull the heat out of a room in no time, but put in enough ventilation or you will get mould.

This site gives a good guide to the alternatives for insulation for different wall and roof constructions:
http://www.celotex.co.uk/

If you have a brick built house with a cavity wall you can have insulation pumped in.
If it is a solid brick or stone structure then the best way is to build outside it, and insulate the new structure effectively.
The big enemy is damp, so take account of that whatever you do.
Because of planning permission or expense - for instance if you are in an upper story flat - you may have no option but to so the insulation inside- see the Celotex site again for info on this, and be very careful of damp.

In the attic space go for at least 270mm of insulation - that is for Britain, other countries may vary.
You can also buy insulation in blankets which go directly under the tiles if you have an inhabited attic space.

If your main living area has a high ceiling, consider a false roof, which will give you plenty of space for insulation.
If you are just insulating one room, then don't forget the space between the floorboards of the room above.
In large,open plan housing then stud partitioning is fairly inexpensive, but don't forget that you will need a double skin for insulation.

For areas where you don't have room to put in insulation, consider using aerogel, which provides huge amounts of insulation as it is around 37 times as efficient as fibreglass:
http://www.aerogel.com/
ASPEN AEROGELS | NANOTECHNOLOGY AT WORK™

It is fairly expensive, at $5sq ft, but useful for instance in the rebates of windows - it is surprising how much heat they can loose.
Talking about windows, obviously if you can afford double or triple glazing that is the way to go.
Less expensively, consider insulated curtains.
And really cheaply, buy the bubble plastic they use in gardening, and attach it to your windows when it gets cold - you will find it at the gardening stores.

Lastly, a couple of thoughts on selecting and sealing one room for the winter.
Choose a room with easy access to the bathroom , and with a kitchen area, as cooking will provide much of your heat.
Bedrooms can be a space in this area, or if the climate is not too severe or you are tough enough you can put on old fashioned things like pajamas and night-caps(!) before heading off to bed in another room.
Your bathroom may be in or out of the heavily insulated area also, but if it is out of the heated area use heat tape to prevent the pipes freezing:
http://www.mygreathome.com/fix-it_guide/heat_tape.htm
How To Install Heat Tape
If you have a bathroom which is conveniently near enough to the area you intend to insulate that it can be done inexpensively, that is great, but if you have a second bathroom you may want to cut off the water to that part of the house in the winter an drain the pipes to prevent them freezing - putting in a valve to do this is easy and cheap, or you could use more heat tape.

Try to design your layout so that as and when more funds become available you can extend the insulated area without wrecking too much - if I were just insulating one room I would make most of it fairly temporary and movable rather than beautiful.