Since this is the AHA, and all, my mash tun is a sort of a Denny Conn-ized ZAPAP:
a 6-gallon plastic bucket with a hose braid, instead of the original ZAPAP's false- bottom approach.
I insulate it with whatever is convenient at mash-in - works great, actually.
I owe a lot of brewing enjoyment to that setup, and those who inspired it.