Thickness depends upon if you are going to heat it for a workshop or not. Normal foam insulation the thickness of the door should be alright and the minimum for helping your car to start.
Can't say the thickness of the cladding helps with insulation but helps make the door more solid.
Wood vs. steel clad depends upon how much you like to paint and really what matches the rest of the house. I've seen people put in these partially transparent fiberglass doors and they look tacky and cheap on a wood house. I saw a good heavy masonite door crack and break at the middle hinge for some unknown reason and it was impossible to find a replacement panel 15 years after it was bought.