Adding a window on the south wall of your house can provide very useful winter heat gain.
Windows are very good solar collectors -- they are just as efficient as a commercial solar collector you might add on your roof, and can be less expensive and less complex to install. No ducting or plumbing required.
This section gives plans for a retrofitable solar window design that is simple, and less expensive than installing a commercial window. It uses very simple framing, and can be built for little more than the cost of the glass itself.
These plans are excerpted from the book "Passive Solar Energy" by Bruce Anderson and Malcolm Wells. The full book is available for free download here.
A couple additional notes:
Adding some form of insulating thermal shade to the window will greatly reduce night heat loss. While windows are very good collectors, they do lose a lot of heat at night, so some form of insulating shade is very important to reduce night losses.
You should include some means to shade the window during the summer. Unwanted solar gain through an unprotected south facing window during the summer can aggravate cooling problems. There are many ways to provide shading.
The window cutout may require structural framing beyond that shown in the pictures below. Consult a home building book with a good section on framing to see if more framing is needed in your case.
These details were developed for a low-cost addition of direct gain south glazing in standard 2x4 stud wall construction. A section of the south wall is removed and new framing added as shown to prepare for the addition of standard-sized insulated glass units. These fixed units are installed using standard glazing techniques including setting blocks, glazing tape and weep holes for condensation. The rough framing is finished with trim pieces and glazing stops. Note that cutting into the framing of a stud wall house can be a major structural alteration to the house, and should only be undertaken after professional verification that the new structure is adequate and that existing floor and roof loads can be carried safely during and after the renovation project. (Construction details, New England SUEDE.)
Some additional thoughts:
Choosing standard size glass units such as those used in sliding door units will usually result in a cost saving.
Glass supply houses may be willing to sell you units that they have been ordered incorrectly, or have slight defects for much lower than retail prices. I have actually been offered the "take it away, and its yours deal".
If having a clear view out the window is not a requirement, you might think about substituting double or triple wall Polycarbonate glazing. This material is virtually indestructible, is easier to work with than glass, and normally cheaper. Be sure to get the type that has a UV resistant layer on the sun side. This material has become quite common as a greenhouse glazing.