It's called double pane. Two pieces of glass with air trapped in between. More expensive ones use argon or other noble gasses that transmit heat even slower. They're not common in older homes but most newer ones I've seen have them. The issue with upgrading is just the expense. You get used to your monthly utility bill but spending thousands on new windows that aren't "broken" can be difficult, even if they will pay off eventually.

There are also triple pane windows that are even more efficient but for the price difference they typically aren't worth it in most climates.