I don't know what candy to use for gingerbread windows
Hard Candy would be your best bet, like this recipe, if you want to make 'custom' windows. The presence and concentration of food coloring can get you from 'clearish' to solid colors. If you want to go 'off the shelf' There are a variety of lollipops that are translucent which might give you a nice effect. 

If you want to get 'real fancy' break up some Jolly Ranchers and use a little frosting to go "stained glass" :o)