There is such a wide choice of glass it will depend on where the door or window will be used. Thermally efficient double glassed units can be manufactured using a low-e coating and can be filled between the panes with argon gas to make them even more thermally efficient.
For security applications the use of laminated glass should be used, where 2 or more panes of glass are bonded with an interlayer between them designed to withstand a specific level of attack.
For critical locations, in and around doors or where any part of a window is lower than 800 mm from the floor safety glass will be used, either laminated safety glass where the bonded interlayer will retain the fragments or toughened glass which will break into small pieces reducing the likelihood of injury.