No matter what kind you use, the siding itself won't provide much insulation value.
You can get vinyl siding with a rigid insulation backing, but that is quite thin and adds more to the stiffness of the vinyl (resisting waviness) than it adds insulation.
The real issue is what is behind the siding.
- Are the wall cavities insulated?
- Have you had an audit to identify and seal air leaks?
If you plan to replace the siding for aesthetic reasons, you could add rigid insulation under whatever you do.
- But you will want to be careful with the thickness and how you deal with the detailing at window openings, the bottom of the siding, etc.
- In Ohio, we need to use at least 2" of rigid insulation to avoid creating moisture problems inside the wall.
From there, the choices are fairly independent of energy efficiency. Cedar, if primed on all six sides and installed over a rainscreen, is renewable and should last a very long time. Fiber cement is less expensive and quite attractive, and will also last a long time.
Or you could just stick with a good vinyl.
For more information:
Read "Which is greener: fiber-cement or vinyl siding?" a Q&A answered by Connie McCullah.
Also, check Carl Seville's Q&A "What's the best affordable sustainable siding option? Any thoughts on roofing materials and gutters?"