I got this out of the excellent book called Tom Brown's Field Guide to Wilderness Survival:
The material doesn't make any difference, as long as it's light and airy. Use whatever you can find: Leaves, ferns, moss, grass, etc. These materials will insulate a structure even when wet. Try creating a latticework of branches and sticks to prevent the insulating material from falling through into your living space. Two-and-a-half feet of insulation of this type will keep you warm down to about 10 degrees above zero Fahrenheit. Four feet of insulation can keep you warm when it's 40 below. Find some protective shingling - bark, mats of moss, or whatever - to help keep out the rain. If you build a steep dome, that will help with rain runoff. On top of the bark or moss, you can even pile on something heavier to help keep all the insulation from blowing away in a storm.
Offered by Mike.
Insulation that is fire retarding and able to keep out moisture made out of natural materials. A tough request. Melted sand will make a primitive glass. One could make glass plates or semi-hollow glass bricks from a primitive mold. Two parallel walls made of such plates or bricks could be held apart with straw, weeds or air to gain insulation. Melted sand with air blown into it to populate it with many air bubbles, made into bricks, would accomplish both insulation and structure from natural materials. To gain strength use less air bubbles. To gain more insulation properties use more air bubbles. Clay can be dried and fired to make fire-brick. This can be made into many shapes from solid to having some air space inside. Even two mud block walls constructed parallel to each other with air, straw, or weeds between them would provide some insulation.
Offered by Mike.