My latest remodel in my bathroom, I used rockwool it is way warmer than your standard insulation. I believe thats due to its density in preventing the wind from getting through it.
I could write a white paper on that comment.
Closed-cell foam.
Open-cell foam (although the difference is minuscule compared to open-cell foam).
Dense pack cellulose.
Rock wool.
Fiberglass.
Wood shavings.
Nothing.
The above is the general order of insulating value, but it is a lot more complicated than there is space to write here. If the wind is getting through your walls, you have bigger issues than the type of insulation, but if the wind is actually blowing through your walls, spray foam is your only option. The "wind" that you (or your contractor) might be talking about is convection. Each stud bay develops a micro convection current within the wall and the degree to which that convective current develops is dependant upon the delta between the inside and outside temperatures. This is why fiberglass loses "R" value as the outside temperature drops. Spray foam prevents this convection within the wall and therefore maintains nearly all of its "R" value as the temp drops. I could go on....
I heat my shop with wood heat since we own property that is completely wooded. A year ago I installed an 18k BTU Friederich mini-split. The air conditioning is awesome and does a wonderful job of cooling my 1300 sq ft shop. It also does a superb job of heating it, or at least taking the chill out until my wood stove is making heat. I installed the mini-split myself but had a friend (HVAC pro) come over and charge it up with refrigerant.
I also have the tubes for in-floor heat installed, but with the rising cost of propane, that option is going to sit there for the foreseeable future. I have in-floor heat in the lower level of my house and there is nothing better. I also have it in my garage so doing oil changes are almost pleasurable.
Radiant tube heaters are fantastic too, but there is a minimum distance that they can be mounted at. 12-foot ceilings would probably work but check the specs on them. No air is circulated with radiant because it heats objects, not air. Actually, heating air and moving it around is quite inefficient.