Weather Spotter,
I will try to address some of your questions and ask more to help you on your journey renovating your new home. I am not a master expert guru, but many members here are.
From this quick reference:
Ashland, WI Weather, Forecast, Temperature and Precipitation Statistics - CLRSearch
We can tell that your main concern regarding energy usage will be heating. With about 7500 heating degree days vs. 700 cooling degree days, your heating demand is roughly 10 times cooling demand. With average January lows approaching 0 degF and most likely many sub-zero nights, you will spend a boatload of money every year to heat your home, even if it is "well insulated".
What you need to be thinking of is "super insulating" your home by today's residential standards. The home-builders of today are not highly motivated in terms of energy savings after they have reached the minimum amount required to get you a government rebate. In contrast, spending an extra thousand dollars on this or that material up front, especially on extra insulation or infiltration barrier will forever change the way your house acts when it gets cold or windy. Done properly, improving your home's resistance to mother nature has the potential of murdering your utility bills for the foreseeable future.
A first step to pursue is to define what you have just purchased. I assume a decent home inspection was done prior to closing. Next, a thorough energy audit needs to be done. From these two preliminaries, you can define a baseline as to the present condition of the home. If you can contact a previous owner, they could provide a trove of historical data. Doing your homework in this area will compound itself in labor and time savings the earlier it is done. For instance, identifying a leaky, over-sized heating system or a poorly designed electrical system would dictate rework before finishing or insulating around these defects.
Concerning the siding and interior/exterior components of your envelope: it all depends on how you want it to look when it's finished. This should be integrated into your plan before you start your project. If you're not much of an architect or carpenter, that's okay. Just surf the internet and find design elements you like. Print out or save some pictures and put a folder together along with pictures of your home. Then seek advice from others with design skills.
The methods and practices of work involved are all well established and will pretty much reveal themselves once you figure out the finished product. But the surface cosmetics should have much less to bear on your project than what lies between the drywall and the siding or shingles. Like the builders say: "Drywall, paint and plastic is cheap."
With respect to lighting, most manufacturers make products that fit in with the status quo in building methods. This usually means drilling big holes in your walls or ceilings (or drop-ceilings) to install boxes or cans, because that's what contractors do well. There is a whole forum on this site devoted to eco-lighting solutions on this site with innovative solutions that do not violate your envelope and perform much better than the industry standard. Your imagination is the only barrier in this realm.
As to your space and water heating, these will be revealed once you analyze your home. If you have sufficient hot water and heat now, concentrate first on reducing your exergy leakage first. No need to spend up-front money on something that works as-is. These systems can be researched and upgraded later if need be.
Sorry to be so long winded, but I cannot over-emphasize the importance of assembling a detailed plan before you get involved in performing work. I wish you the best and look forward to your success.
Jeff