Well, first of all, air is a very poor conductor of heat. Therefore, it has the potential to be a great heat insulator. The problem with a space of free air is that if there is room for the air to circulate, it will do so: On the warm side, the air will rise, and on the cool side, it will sink. This circulating air will transport heat energy across the space.
If the air space is quite thin, like 1/8 inch, the friction against the surfaces will keep the air from circulating. So, there is an optimal air-gap, which would be something like 1/4", somewhat depending on the surface properties of the sides of the space.
Actually, most insulating materials are really ways of keeping a lot of air, without allowing it to circulate.
As an interesting side-note, water is also a poor heat conductor, so if you can keep it from circulating, it is a pretty good insulator. This is the reason a wet-suit can keep you warm.
Hans