A lot depends on what your old door is made of and what the replacement will be.
Where I grew up (southern Arizona), some contractors put hollow-core doors in as exterior doors. They were terrible energy drains.
A solid wood door is good, but a fiberglass-clad steel door has a much greater R-value, which is how insulation is measured. Of course, if there's glass in the door, it's not as well insulated where the glass is, so the more glass, the more cold or heat can penetrate it.