We just finished picking the options for our future house, and we opted
for Tyvek. I don't know how big of a house you're getting, but we got
it for $900 for a 3,400 sq. ft. house with many windows. Both my father
and my father in law have convinced us that it will save us money in
heating. (We're in NJ). I'm not sure that it offers any extra
protection from snow or rain.

Either way, this will probably cost 10 times more to do it later, so
you might as well splurge if you are planning to live there for a
while.