1) New houses in the UK are very well insulated indeed. Walls are commonly of cavity construction with 'lightweight' thermal blocks or timber on the inside skin, and insulation in the cavity. We also indsulate the floors and roofs. Our building code is pretty strict about insulation and I believe that is also true in Germany for instance.
2) We use brick on the outside because the UK climate makes external wood rot very quickly in normal circumstances. Cedar cladding can work if left to 'silver', but you have little chance of keeping paint on anything. Exterior woodwork also has to be treated with fire retardant if used as cladding. Roof coverings are normally clay tiles or slate.
There are buildings in my town that are 600+ years old, built out of oak framing with wattle and daub infills...but this is a very expensive way to build.