Build with 2-by-6-inch rather than 2-by-4 studs. Two-by-six studs have a higher R-value than 2-by-4 studs.
Space the studs on 24-inch centers instead of 16-inch centers. This allows you to use fewer studs overall, while still building stable walls.
Use ½-inch foam sheathing on the outside of the house. Seal all joints and intersections of the sheathing with tape designed for this purpose. This continuous layer of insulation on the exterior of the house helps prevent thermal bridging.
Use diagonal bracing in corners, which requires less wood, and thus less potential for thermal bridging, than more traditional three-stud corners.
Install insulated headers over windows and doors. These layers or wood and insulation material conduct heat less readily than standard headers.