Heavy insulated curtains in front of the door work wonders. Arrange them so they go floor to ceiling, and are close to the wall.

I've used that metal double bubble insulation over really poor windows and doors before (in rentals, where I wasn't going to spend much money). Tape all around the edge. It cuts out all the natural light, but definitely helps with the heat loss.

You can also get "window insulating kits" with some plastic film you tape around the edges and heat a little bit with a hair dryer to get it tight and decent looking. Not as good insulation, but you don't lose the light.