Answering my own question as I did quite a lot of online research on that topic.
I did this across different languages (English, French & German) which was interesting: habits/technics seem to vary from one country to another.
Criterias & vocabulary
Criterias
- Thermal insulation: must be excellent
- Resistance to humidity: must be excellent
- Compression potential: your vehicle vibrates a lot, over time the insulating material might get very compressed (i.e. rockwool). So you might want to avoid materials that compress a lot, at least for the walls.
- Sound insulation: a great plus
Insulation-related scientific terms
- Thermal Conductivity: the lower the value, the better
- Thermal Resistance: the higher the value, the better
- Specific Heat Capacity: the higher the value, the better
- Thermal Diffusivity: the lower the value, the better
Eco-friendliness values:
- Embodied Carbon & EPDs: carbon associated with making the material, read more
Insulating materials list
Cork sprayed

Thermal conductivity at 0 °C: around 0.043W/(m K)
Price: in France, suber-spray.com sells a bucket of 12Kg for 215€ which can cover around 6 square meters if applying 2 layers (recommended). So a cost of 36€ per square meter if applying 2 layers (without adding the cost of renting/buying the gear to apply it).
Pros:
- can reach any tiny part, great to avoid thermal bridges
- fast to apply
- apply the thickness you want by doing as many layers as you need
- cork has many eco-friendly features, from production to destruction (recycling)
- good sound insulation
- can be the colour you like
Cons:
- usually more expensive than other insulating materials
- need of gear to apply it: spray gun, compressor, drill with mixer
Example of usage on vans: suber-spray.com/spip.php?rubrique10
Tip: it's expensive, so you might want to use a cheaper isolating material for the flat parts to be isolated, and this for the smaller hard-to-reach/hard-to-insulate parts.
Note: This insulating material is often use in sailing boats.
Buy sprayed cork:
Cork rolls/sheets


Thermal conductivity at 0 °C: around 0.043W/(m K)
Exists in different thicknesses, but the ticker the less flexible.
Price: 2 mm thickness, 150 x 50 cm = 10€
Pros:
Cons:
Reimo X Trem isolator


Thermal conductivity: 0,020 - 0,034 W/mK (maybe around 0.03 at 0°C?).
Made of expanded polyethylene.
Sold as roll.
A product of Reimo, a German shop specialized in converted vehicles.
Data sheet - ihr-business-im-internet.de/anwendungen/ms-visucom/bilder/firma70/EN/zubehoerprofi/276.pdf
Price: 15€ per sq meter of 20mm thick - on campingshopwagner.de/product_info.php?info=p4340
Pros:
- simple to put
- good sound insulation
Cons:
- may be difficult to obtain outside of Germany
- mostly good for flat parts, otherwise time consuming
Buy Reimo X Trem isolator:
Aeroflex FIRO


Thermal conductivity at 0 °C: 0,034 W/mK
Sold as roll.
Data sheet: aeroflex.nl/en/products/aeroflex-firo.
Price: usually around 10€ per square meter when 19mm thick.
Pros:
- simple to put
- good sound insulation
- different thicknesses available
- self glueing available
- clean & aesthetically pleasing
Cons:
- mostly good for flat parts, otherwise time consuming
Tip: buy self gluing version to make things simpler.
Example usage on a Ford Transit : verpiss-dich-von-meiner-veranda.de/post/188/wohnmobil-isolierung/
Buy Aeroflex FIRO:
Armaflex (product of Armacell)


Thermal conductivity at 0 °C: 0,036 W/mK
Price: 10€ per square meter - ebay.de/itm/like/271583864528
Sold as roll.
Pros:
- simple to put, just cut to the shape you like
- good sound insulation
- different thicknesses available
- self glueing available
- clean & aesthetically pleasing
Cons:
- mostly good for flat parts, otherwise time consuming
Armaflex "AF series" - armaflex.com/www/armacell/INETFAQ.nsf/IDP/478F84DCC0A98ED6C1256CD700600264
Buy Armaflex:
Polyurethane foam

Thermal conductivity at 0 °C: around 0.025W/(m K)
Pros:
- good sound insulation
- can expand 50 times more, i.e. a 1L of product can produce 50L of foam
- can "fill" an empty area, filling even the smallest cavities
Cons:
- can deform the car body when added
- prevent future car body work (in case of accident) on parts having that foam
- compresses over time? (TBC)
Polyurethane on Wikipedia
Thin multi-layer insulation


Price: 5 à 15€ per square meter, according to number of layers & materials used.
Pros: very thin.
Cons:
- poor sound insulation
- fragile, so must covered by something almost straight away to avoid damaging it
Example usage: isere-evasion.com/isolation.htm
Example product: castorama.fr/store/Isolant-mince-multicouche-17-prod250073.html
Which country use it in converted van:
Denim isolation


Pros: eco-friendly.
I just came across that material & thought it probably was worth mentioning it as it's very eco-friendly. Further research on its characteristics is needed though.
hurriedyear.com/2016/02/10/insulating-a-sprinter-van/
ecohabitation.com/actualite/nouvelles/isolation-coton-recycle-choix-ecolo
More insulating materials
- "Trocellen"
- "KFLEX"
- Sheep's wool
My biased opinion
I think the best is to use Reimo X Trem isolator (or Armaflex or Aeroflex FIRO) and afterwards add some sprayed cork in the parts you could not cover.
By adding sprayed cork on these parts that couldn't be covered, you'll reduce the thermal bridges, or completely eliminate them if you put enough layers.
Resources