There are two ways that windows help in heating and cooling – by preventing heat loss from the room, and by taking in heat from the outside. The former is measured by a window’s U-Factor and the latter by SHGC. U-Factor measures how much heat is lost through the window. The actual math gets quite complicated – U-Factor tells you how much heat is lost in one hour for one square foot at a certain temperature. A low U-Factor value (usually of 0.35 or lesser) means less loss and thus better insulation. Conversely, some windows may even mention an R-value, which is a measure of insulation. A low U-value corresponds to a high R-value.
SHGC is a value between 0-1. The lower the value, the less the amount of heat a window admits. Depending on the climate and your heating/cooling requirements you will need to pick a window with the right combination of SHGC and U-value. In cold climates, you want a U-value lesser than 0.35 combined with a high SHGC of around 0.60 or higher. This will considerable reduce the load on your heating system. For warm climates, you want the opposite – a low SHGC of less than 0.40 with a high U-value.
Does this mean you will have to change windows to match the seasons? Not necessarily. A metallic oxide layer (called a low E coating) applied on the outside keep the heat out, lowering the SHGC and when applied on the inside decreases the U-value. Even tints work well, though they only reduce the SHGC value.
Does material matter? Very much so, windows made of wood are not very good on insulation, while vinyl and fibreglass frames have the lowest U-values. Metal should be your last option when looking for insulation.