What specifications should I look at when choosing an exterior door?
All doors will come with a rated R-value or U-factor (sometimes called U-value).  The higher the R-value the better the insulation.  The lower the U-factor the better the insulation.  Even doors that qualify for Energy Star certification come in a wide range of insulative capacity.  I would simply go to your local lumber yard and speak there to a window/door salesperson.  He or she will be willing to work with you to find a door or doors that fit your budget, aesthetic sensibilities, and desire for better insulated doors.

One thing to note - it doesn't matter how good the R-value of the slab if the door isn't installed properly with effective weatherstripping.  Also note that at some point there will always be a compromise between the tightness of the fit and operability.

Here's a website that explains more about doors and insulation: http://www.green3dhome.com/YourHouse/Exterior/Doors.aspx