In recent years, energy conservation became a strategic goal to preserve the environment, foster sustainability, and preserve valuable natural resources. The building sector is considered one of the largest energy consumers globally. Therefore, insulation plays a vital role in mitigating the energy consumption of the building sector. This study provides an overview of various organic and inorganic insulation materials, recent trends in insulation systems, and their applications, advantages, and disadvantages, particularly those suitable for extreme climates. Moreover, natural and composite materials that can be used as a low-cost, thermally efficient, and sustainable option for thermal insulation are discussed along with their thermal properties-associated problems, and potential solutions that could be adopted to utilize natural and sustainable options. Finally, the paper highlights factors affecting thermal performance and essential considerations for choosing a particular insulation system for a particular region. It is concluded that the most commonly used insulation materials are found to have several associated problems and there is a strong need to utilize sustainable materials along with advanced materials such as aerogels to develop novel composite insulation materials to overcome these deficiencies.