The Boy Scout winter camping training (called OKPIC - I haven't taken it yet, but have talked with lots who have) suggests using the pink foam building insulation. Cut out the shape you want. Cut it into strips wide enough to handle (1-1.5') and then use duct tape to reconnect them accordian-style, so it will all fold up moderately compact (as compact as it gets).

If you're looking for a great winter tent (3-season tents), check out the Alps Mountaineering Vertex or Taurus tents. Make sure to get the Taurus with aluminum poles.

About the best deal in a 4-season tent I've seen is the Eureka Assault Outfitter.