I recently saw a special glass which is warmer to touch and has way less thermal conductivity, but even with that, the savings are ~20% at most. A brick wall with isolation adds minimum of 25% savings when compared to the same wall provides without isolation, which is way better than the glass to begin with.
There are two things in play here: the first is, as you mention, the insulation quality (R-value / U-factor) of windows is abysmal, both in absolute terms and relative to other wall assemblies. Heat leaks out of windows in winter in high amounts (and then you also have to deal with unwanted thermal gain in summer, raising AC costs).
The other thing is mean radiant temperature:
* https://en.wikipedia.org/wiki/Mean_radiant_temperature
Many folks think that if the thermostat reads the correct temperature in a room, you're done: that is not the case. The thermostat reads the air temperature, and air temperature is often only half of what you feel in a room: the other half is what is radiated from all the surfaces around you.
A camp fire, fireplace, or radiator feels warm because it is at a temperature higher than your skin, and so the energy goes from it to you. But if there is something that is lower than your skin temperature, the energy will go from you to it and you will feel cold—regardless of what the air temperature is.
This is why in offices, even though a thermometer / thermostat reads 20C/70F in both summer and winter, people feel cold: the giant office windows work as "anti-radiators", where energy wants to move from your body/skin to them.
I was one of these (rather confused) folks who failed to understand why this was happening. Thanks for the info!
† Very cold and very sunny generally go together: the air is too cold to hold moisture, so there are no clouds, so you get the sun.
What are really awesome are office buildings constructed before electric lighting was ubiquitous. They’re designed with shallow floor plates or inner open spaces so that (unless you break them up too much with cubicle walls) every desk can be fully illuminated with natural light.