I built a new house and shop last fall. I was the general contractor and up in Northern Wisconsin, insulation is extremely important. The largest delta (ROI) for a new construction is insulation. It will pay itself back rather quickly, but more importantly, if done correctly your living space will FEEL better.
I did closed cell spray foam in my house. The contractor charged my $0.85 per "board" foot. That is a 12x12x1" area. So, to fill up my wall to the 5" or so cost me $5 per square foot of wall space. Yes, expensive but.... I spent $650 to heat my 3400 sq ft home last winter on LP, which is one of the more expensive sources of fuel.