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The table below gives and idea of the relative cost of various kinds of insulation.

Except as noted, these are costs for a DIY installation -- materials only.  Exceptions are for some types of insulation at are only available professionally installed like some forms of closed cell foam.  Most of the prices were looked up in July, 2011.  Some of the types of insulation were hard to find any good price (or even R value) data on -- if you see any errors or missing data you can fill in, please let me know.

If you have more or better data, please let me know.

Type R per inch thickness Cents  per sqft of R1  
Loose Fill      
Loose fill Cellulose  (attic) 3.1 1.2 Home Depot GreenFiber ($7.60 bag covers 21.7 sf at R30)  (1)
Dense pack Cellulose 3.7 ? 3 ? for density 3.5 lb/cf , 19 lb bag gives 5.44cf, or 65.3sf at R3.7 for 3.1cents/sfR1 (2)
Damp Spray Cellulose 3.7 ? 1.8 For density 2 lb/cf, 19 bag gives 9.5cf or 114 sf at R3.7 for 1.8 cents/sfR1at $7.60/bag
Loose fill Fiberglass (attic) 2.2 1.5 Home Depot Owens Atticat $29.97, 65 sf at R30 (3)
Batts      
Fiberglass batts 3.0 2.1 Lowes -- average of several sizes (varied from 1.6 to 2.9 cents/sf@R1)
Cotton "bluejean" insulation 3.7 7 (?) Unable to find price -- value is from 2nd hand estimate  -- let me know if you have a good cost
Rock Wool - Roxul 4.1 4.4 Lowes 8 pack 15 by 47 R23 at $40.33
       
Rigid Foam Boards      
Polystyrene EPS "beadboard" 4 7.8 Home Depot 1.5 inch by 4 by 8, R5.9, $14.86
Polystyrene XPS (pink&blue) 5 10.4 Home Depot Owens 1 inch 4 by 8, R5, $16.70
Polyisocyanurate 6.5 7.4 Home Depot Dow Tuff-R 1 inch 4 by 8, R6.5, $15.25  (4)
       
       
Foams      
Polyurethane closed cell 6.5 10? eg Corebond -- professionally applied only -- cost based on "3 to 4 times fiberglass"
Polyurethane closed cell DIY kits 6.5 25 This is for the big kits that come as two large bottles -- example...
Icyneene open cell 3.6 5.3 (?) Based on this online Icyneene calculator...  (probably optimistic?)
       
       
       
"Great Stuff" in cans 6 12 Based on Scott's 27 cf trench filled with 48 16oz cans of Big Gap filler
       
       
       
       
       
       
       
       
       
Construction Materials      
Wood 1.25    
plywood 1.25   Half inch plywood is R0.63
Rastra      
Strawbales      
       
       
Other      
Vacuum Panels      
       
       
Aero Gel
Window dbl glz low e (U=0.31) 3.2 *    
       
Reflective layer (heat xfr down)     Reflective layers MUST face and air gap
Reflective Layer (heat xfr up)      
Reflective Layer (heat xfr side)      
       
Inside air film 0.65 0? Varies with thickness of air film, but not a lot.
Outside air film 0.17   With wind
Airspaces in walls etc 1 *   About R1 for each space of thickness 0.5 inch to 4 inch
       
Insulating Paint 0   Insulating paint is a scam -- go to GreenBuildingAdvisor.com and search.
       
       
       
       
       
       

Notes:

1 - The cost calc is based on the GreenFiber table, which appears to assume an R value of 3.5 per inch, which is higher than most places list for loose cellulose -- so actual cost for a given R value may be higher -- this fudging of R values is similar to what OC does for loose fill FG, but not quite as much.

2 - Dense pack cellulose is installed at high density to prevent settling and to reduce air infiltration -- the 3.5 lb/cf is a bit beyond optimal density.

3- The cost calc is based on the Owens Corning table, which appears to assume an R value of 3 per inch, which is higher than most places list for loose FG -- so actual cost for a given R value may be higher.

4 - This is puzzling that polyiso turns out less expensive than XPS polystyrene -- I may just have hit a better than average price for the polyiso on HD.