Best insulation to adhere to back of door leading to attic space?
Rigid foam insulation will be the easiest to install, since you can simply screw it on. The blue or pink stuff should be fine, and they are easier to handle than Poly-Iso (yellow with a foil backing). You should pick up a pack of insulation washers, often sold for duct insulation, at your home center or on amazon. These are essentially large domed plastic washers, which flatten against the foam board, and provide a much stronger connection than a simple screw-head. Make sure you place your screws into the solid wood at the edges of the door too, so they don't pull out of the flimsy center.

You should really look at air infiltration first though. Make sure you run weatherstripping (either rubber gasket or foam strip) all around the opening. Make sure it latches snugly.

Even a heavily insulated door won't do much good if you have a 1/4-inch gap running around the frame.