The main thing is to build a house with good 'bones'. In other words- strong, efficient, useful. Think long and hard about how much house you really need. Houses in America have ballooned in size tremendously just since WWII. Our house is 1500 sq ft for three people, and there is space we virtually never use. Our next house will be smaller and very energy efficient. The outside will be very durable materials for low maintenance and longevity.

See if you can talk to some reputable builders in your area. Get a feel for what type of houses are built in your area and go check them out. Not to mean you need a house that looks like everyone else but, if you live in the south or southwest you may need to deal with lots of heat most of the year, etc.
Research, research, research!!!
Good Luck!

there are many ways to build the shell tight and be super efficient. What part of the country are you located in?
Keep in mind, you get it fairly efficient will not really cost much more. A lot of the things you can do yourself, such as caulking joints between studs and sheathing. The key to a tight house is in the details. Your builder (or you if DIY) need to do the tiny extra steps that make all the difference. Set your sill plates for your exterior walls in a couple beads of caulk for example. glue or caulk each stud before sheathing is nailed to them. Efficiency is achieved by several ways: r value, air infiltrations, and thermal breaks. achieve all, and you will have a very cheap out to live in. Here are a few shell options of various price levels:

the simplest way to add slightly more r value and reduce infiltration is to use "advanced framing" and exterior XPS sheathing. Basically use 2x6 stud construction spaced 24" oc, sheathed with 1" min XPS sheathing. Your corners and other shear required locations you will use typical 1/2" osb sheathing, then cover that with 1/2" XPS foam. caulk the foam to the studs, and at all base and top plates. THis will give you a great thermal break, a wall r value of around 25, and reduce infiltration.
Obviously by adding another inch of exterior XPS increases your thermal resistances, reduces infiltration, and adds another r-5 giving you around an r-30.
THis is a very cost effective construction technique, and will not add much to your budget.

THe next step up would be to use a double stud construction. THis is my preferred method, and what my house is. THis gives you basically a 100% thermally broken shell, and what is also called a "super insulated" house. Construct 2- 2x4 walls spaced apart. THe farther you space them, the more r your wall will be. You use alot more 2x4s, but remember, 2x4s are cheaper then 2x6. You would price only increases by a few hundred dollars on a typical 1600-2000 sqft house. Most have gaps around 1-3". fill the void with cellulose insulation. THis gives you an r of around 38-40. I also opt to use Hubber ZIP exterior sheathing instead of typical osb and tyvek. it reduces infiltration and creates a water proof exterior. it costs about the same as tyvek plus osb for materials, but could save in labor as tyvek is no longer needed to be installed. THis method will give you a very high r, extremely low infiltration, and completely thermally broken. if going for a super insulated structure, this is by far the best r for your dollar. For my 1600 sqft house design, it was cheaper then 2x6 framing and 2" XPS for materials. However the big disadvantage to this is your walls are 10-12" thick. Depending on your floor plan, this can reduce your rooms by 6-8" inside, unless you expand the footprint of your house (equals small added costs in foundation and roofing)

THe next step up is taking advanced framing to the next level. Instead batts or cellulose, use spray urethane between studs. this seals it up a great deal, and gives you around an r-7 per inch. however it is costly. a lot of people do "flash and batt", spray just 1" to seal it all up then fill the rest with fiberglass or cellulose.

Finally, if you are after the ultimate in efficient construction, check out other construction methods using SIPs panels or ICF construction. There are advantages to each, but both give you h r, basically eliminates infiltration completely as well as thermal bridging. But they come with a price tag. SIPs would cost you around 3-5% more, and ICF can be anywhere from 3-as high as 8% more. I was going to use SIPs, but it was not nearly as cost effective to achieve a super insulated wall of r-40 compared to double stud walls. I am going with Hobbs vertical ICF for the basement walls however.
hopefully this helped give you an idea of whats out there. do tons of research, the info is at your finger tips.

Whatever you decide, its great you are spending the money on the shell now, and changing out cosmetics later. I always tell clients to spend as much as you can on the shell, as it will always pay you back. Your granite counters wont ;)

Certainly double walls is overkill for a lot of climates. What makes sense depends on where you live so you should post that info. Any thing you build will likely be far better than where you live now. Throw in some effort to air infiltration and exceed code by 1 step (like R-13 to R-19 walls) and you are doing pretty well.

Montana - listen to lzerarc. Georgia - don't. Most important thing in Georgia is window placement and overhangs. Then comes air infiltration. Any money spent on walls is misplaced. My windows probably cost me 10X my r-13 walls in the summer(and they are pretty good windows).

he mentioned shell, and like you said, didnt list a location, so I just threw everything at him. The basics are still there though. The first type would be ideal in most locations. While you do not need the r-40 walls, you still need the infiltration reduced, thermal breaks, and a good buffer between in and out. Most people think insulation is great for cold climates, but it works both ways. Air conditioning needs to be held inside the house, and humidity held out during the summer.
Windows, placement, and overhangs are important no matter where you are. I would argue in heating dominate locations they are even more important then southern locations. The focus there is overhangs and reflecting glass to keep heat out. in cold climates, you want them to have 2 purposes. Let heat in during the winter, block sun during the summer. placement and mass design is critical for a passive solar based design to dramatically reduce your heating used during the heating months.

First of all thank everyone for their advice so far.

The house will be built in NW Florida. Get as low as the upper teen's in the winter but not for extended periods. Gets way too hot in the summer.

lzerarc - your info was exactly what I was looking for. Have been looking for info like that on the web but haven't had much luck. Was looking and the ZIP sheathing but was wondering what the cost is like for it. Also, if using 2X6 ext studs and the ZIP would I need the 1" foam? If I dont use the foam what drop in R value would I be looking at?

The build is going to be kinda DIY. My father in law and brother in law have a construction business and will be doing the framing and helping with other general construction. My dad will be acting as the GC and setting up subs for plumbing, electrical, etc. He recently built his house in the same area and knows some good subs. But any more advice on the construction would be fantastic!

david_cary - what things should I be looking for as far as window placement?

ZIP sheating runs (in our area, check with your local supply company that sells Hubber products) around here about $13/4x8 sheet. Compared to cheap OSB sheathing, that costs about $7. With ZIP you also need the tape, which is around $30 per 100' roll, so add several rolls to that price. However with OSB, you also need to add in a building wrap such as Tyvek, which costs 150-300 per roll, dependings on what size you need and how much. ZIP plus the tape will cost slightly more (on my house with about 2200sqft of wall surface it adds about $500 total, WELL worth it). The advantage however is it saves the step up putting up tyvek (i hate it!) but also seals your house much better then tyvek and typical sheathing. it also creates a natural water resistant drainage plane and reduces air infiltration much better.
Also look into Advantec subflooring, also made by Hubber. THE subfloor to use, IMO. I have not found it to cost any more then a high quality subfloor product.

ZIP should not replace XPS or any other form of "outsulation". It is just a weather coated osb sheathing product, with no insulative values. The XPS creates a thermal break between the outside and your studs. While thermal breaks are not as important in your area as cold climates, they also add another layer of air blockage and help to keep your conditions space in, and humidity out during the summer. If it were me, I would progably install either 1/2" or 1" of XPS OVER the ZIP sheathing. Tape the zip, tape the XPS, and you will have a nice tight structure.
If you want to skip the outsulation step, you can shoot 1" of urethane between the studs on the interior. This will actually seal your house better most likely, but will come at a high price tag. In your area, you are not going for a super high R like in mine, rather as tight as possible and enough R to keep your conditioned space efficient.
XPS is r-5 per inch. spray closed cell urethane is around r6.5-7 per inch. spray in cellulose is around 3.7-4 per inch.
Assuming you used zip, no exterior xps, and cellulose fill, you will be around an r 20 for a 2x6 wall. Your affective r after thermal bridge would be more around r-16 range. Add the XPS, and you are at r-25, and your affective r is still around r-21-23 due to your minimal reduction of no thermal bridging. Spray in closed cell foam does not eliminate the bridging, however it does seal very very well.

If I were building in NW FL, or almost anywhere in FL, I'd give serious consideration to ICF due to hurricanes. ICF is not that hard to DIY with some guidance from the manufacturer. I know a guy in TN that built a DIY ICF for about $6 per square foot of wall area.

My r-13 walls cost about $50 a year in a/c season. You might double that in Fl. If you doubled the insulation - ie doubled the effective R value, you would save $50 a year. This is unlikely to be worth the expense. These numbers are based on an energy audit on a 4000 sq feet house. Smaller house means even lower $$$. Chasing pennies is admirable but you would save more by making sure your computer went to standby and used CFL lights.

The reason this is so is that even though it feels really hot outside, the difference between inside and outside temperature is only about 10 degrees. Maybe a bit more during the day but probably a bit less at night. Do the thermodynamics - 10 degrees isn't much.

Air infiltration is still important.

You might find that the wall insulation is more helpful even for your short mild winters. But don't expect dramatic savings. In my colder climate, I think the walls cost about $200 (of a $700 heating bill/annum)

2 100 watt bulbs left on 4 hours a day = $250/year

That would be $25/year

Hi Lzerarc
When you said "Basically use 2x6 stud construction spaced 24" oc, sheathed with 1" min XPS sheathing. Your corners and other shear required locations you will use typical 1/2" osb sheathing, then cover that with 1/2" XPS foam. caulk the foam to the studs, and at all base and top plates. THis will give you a great thermal break, a wall r value of around 25, and reduce infiltration." Did you assume additional insulation on top of the sheathing and 1/2" XPS foam to get R25?

Also, where are you building please?

no, the r25 is clear for the wall and 1" XPS with sheathing. Your corners would actually be more around r-22.5
I am in Iowa, if you were asking me.

I am building a cabin at 8,000 ft in Colorado. I am considering 2x8 walls with 2x4 staggered studs where possible and straight 2x8 studs for large windows and shear walls (wind & heavy snows). The 2x8 costs ~14% more than 2x6 in cost, while the 2x4s are less than 2x6. I am also considering 1" XPS sheathing. First how do I trim out my windows with XPS sheathing and second what do you think about 2x8 walls?