How should I insulate a wall I opened up?
Roxul is great stuff. There are 3.5" and 5.5" depth batts. With a combination of those, you should easily be able to entirely fill the stud cavities (leaving no voids inside is important). You can use a bread knife to really shape the batts to perfectly fit around obstructions and make slits for wires and things like that to get a very neat installation. The material is super DIY-friendly, and much easier to work with than fiberglass batts.

As for your windows, if you like them and they're attractive and in good condition, there's no reason to replace them; just get storm windows with your desired glass characteristics (laminated, Low-e, etc).