What are some of the best insulators against cold, especially ones that people would not normally expect?

Cork.

Crumpled or shredded newspaper but only in places that don't have to be fire resistant.....a tool shed or dog house. 

I know some people up north put bubble wrap on windows in winter; they claim it really helps with their heat bill.

Fat

Cats (if you don't mind the ocasiona hairball)

A vacuum provides the best protection against cold like the way it works for a thermos bottle but not likely to be able to design clothing to work that way.

Dogs, of course!