Insulation alone does not make for a comfortable building. I built a sleepout using coolstore panels (0.6mm steel skin with 75mm eps core). That is nearly airtight and very well insulated. But it has no thermal mass, so while it cools down quickly (at night, or with the air conditioner) and heats up quickly (resistive heater), it does not stay that way very long. The temperature inside oscillates uncomfortably quickly.
Ideally a house would be well insulated and have thermal mass inside to stabilise it. Passive solar design can make a huge difference, properly positioned windows with the right shading mean you get sun shining on your internal thermal mass during the day, heating it up and that heat keeps the house warm overnight. In summer the sun is higher so the shade keeps the sun away from the windows and the house stays cool. PassiveHaus designs almost always work this way but more so - better insulation, MHRV systems (heat exchangers rather than/as well as heat pumps), better design.
There are standard, common houses that also use those principles, and some of them predate the formal knowledge (some of which came from looking at the older houses and trying to discover why they worked so well). In Australia reverse brick veneer is something that even non-environmentalists do just because it's an easy way to make a house more comfortable. That just puts the insulation on the outside and the thermal mass on the inside of a conventional house design. That alone usually means you don't need to run the air conditioner or heater at night, so your house is quieter while you sleep. Temperatures inside change more slowly, so you don't have to keep taking off and putting on clothes as the heat/cool turns on and off.
In terms of sustainable building practices and materials, Passive House is an excellent place to start. To get certified the house not only has to perform well, it has to have a low environmental footprint. You don't have to pay for certification, or even a passive house type design, to benefit from seeing what they do and understanding why they do that. Or even just looking at the material choices and copying them.
In the USA the "Earthship" idea has many benefits, but sadly has become synonymous with rammed earth + reused tyre walls which are a tiny part of the whole system. Only read up on this if you are willing to think critically and have good social skills - the walls take a lot of labour to build so IMO you're better off ignoring that specific gimmick.
Hempcrete is one useful insulator and thermal mass in one if you can get it. It absorbs and releases humidity so acts as a phase change material as well, making it more comfortable to live in than the raw insulation value suggests. It doesn't have to be hemp, rice husks or other farm waste can be used instead, but hemp has more research/experience behind it. "Bio Aggregate based building materials" by Amziane and Arnaud is worth reading, it is quite technical but very detailed. There are many easier to read books about hempcrete if you prefer more "DIY guide" style.
If you are willing to use Portland Cement (horrible environmental costs) there are many ways to make it insulating as well as its obvious use for structure and thermal mass. You can buy aerated concrete blocks in many countries, or DIY it using either foaming materials or reusing shredded EPS (or other insulators), or even sawdust or other biomaterials. But the latter very quickly take you back to bioaggregates using lime mortar instead (hempcrete).
Wooden framed houses with insulation in the walls are very common around the world, and it's easy to find builders who do that. With effort it's possible to make those houses perform very well, usually by judicious use of internal thermal mass either in the floor or a (sometimes freestanding) concrete or rock wall. Sealing the houses to reduce air movement between inside and outside is usually the biggest challenge, and many builders are very bad at this so you may have to pause the build after the sheel is "complete", have a test done, then fix the leaks yourself before allowing the builder back on site. They will create new holes, but at least you'll have less to fix. Australian builders are especially awful in this regard, so I may be exaggerating the problem you will have in Europe.
The extreme of non-sustainable material is perhaps the various concrete and eps systems, commonly EPS blocks that link together then have concrete poured into the middle. That works, but combines two very non-sustainable materials. Just add gypsum board to the interior walls for a trifecta of disaster.
Building regulations might be your main issue. It would be worth finding your local "green building" groups and owner-builder people, to see what they know and how they deal with the legal side of things. In Australia where I am www.renew.org.au is amazing and hopefully there are equivalent group(s) where you live. Reinventing everything is hard and it's better to learn from other people's mistakes where you can
