I have had a different experience from those above, having camped in the bus several times before and after insulating I can tell you it's made a big difference.
Sure the windows will let heat out but if you have decent lined curtains that fit proper (we've used push studs) that will make a big difference.
Few things to consider though - moisture and weight. Warm inside, cold outside = condensation and moisture so don't use anything that holds water or else she'll rot. This includes rockwool, pink batts and polystyrene. Best solution I could find was the foil bubble wrap type that they use in modern RV's. It will reflect heat back inside, doesn't hold moisture, is ultra light and has the same insulation properties as regular batts. If you can, make sure you do the roof too because that is where a lot of the heat escapes. Some people will also use the argument that it's not worth insulating if you have a pop top because there is no insulation in canvas...this is not necessarily true either, canvas is actually a good thermal barrier and will keep the heat in fairly well and if you have plastic sides you always have the option not to pop the top in extreme conditions. IMHO still worth insulating the rest of the van.
FYI got our insulation from here: http://www.westcountrycampervans.co.uk/van-insulation-foil-roll-for-vans-and-campervans/" onclick="window.open(this.href);return false; as an added bonus it's cheep :msn4:
HTH's. Have fun.
Humps.