There is definite insulation value in the air gap when facing north.
The reason 3 panes is better than 2 in a sealed unit is a bit complicated. However, when putting up lexan (plexi-glass), 3 panes will help because the small air leaks that get past pane 1 are kept from immediately contacting pane 3 by the existance of pane 2 in-between them.
Remember, that most energy loss is due to air leaking past or through windows.
All that said, 3 panes is better than 2 panes, and should reduce the pains felt by the cold. Also, I understand in the Philidelphia area, they recommend the center pane to be the bullet proof variety.