I would use regular drywall, as I do not think anything is gained with shiny foil etc.. I would use paper faced, high density fiberglass insulation with the paper facing the interior to provide a vapor barrier. I would use building wrap (tyvek or equiv.) instead of felt for better infiltration protection and to prevent creating a second vapor barrier (which is not good). If you are sold on the felt then fine, it doesn't make a huge difference, especially for just one dormer. I would pay particular attention to all of your exterior flashing details. Whether you use tyvek or felt you need to make sure that it is layered OVER the flashing that is on top of the window header casing. That flashing should NEVER be applied OVER the felt/tyvek. You also need a hefty piece of flashing at the bottom of the wall that goes under the felt and siding and kicks out any water Over the (roof?) shingles below.