Installing insulation or upgrading the insulation thickness (R-value) of your existing home is a great idea since it will help to reduce energy consumption.
In general, it is preferred to install the insulation on the side where the temperature difference occurs in order to avoid creating moisture (dew point) within a wall assembly. Most of the time this will be on the outside of the building -- this method will also allow for avoiding thermal bridges.
In historic preserved buildings or a building with a facade which needs to remain untouched, interior insulation is often installed. These options should be discussed with your contractor and governing agency prior to performing any work.
Keep in mind that the exterior envelope of the building is only as good as the weakest link -- wall, floor, windows, doors and roof.
For more information:
Consult Green Home Guide's Energy Efficiency Know-How section to research the best insulation products to use.
This link to the website of the U.S. Department of Energy might be an additional helpful resource.