Levolor makes great window shades that will not only conserve heat, but will also money from your next heating bill.
I purchased the cellular shades with Energy Shield, which have little pockets in the fabric that trap air. By trapping the air, it insulates your windows, and as a result natural light is used to conserve the heat in your home. I was a little skeptical at first, but after using the blinds for just one winter, I am hooked. My energy bills were significantly lower last winter, and I intend to do the same again for this one.
I would recommend Levolor blinds / shades to anyone living in a colder climate, or just looking to conserve energy in general.
Although Levolor doesn't have an exclusive store, their products are sold in major retailers such as Wal-mart and Home Depot.