Your home is full of electrical boxes for outlets, switches, phone or cable junctions, and other features. When the boxes are in exterior walls or even interior walls around unheated spaces, often you can feel a cold draft coming through the box. The problem is two-fold. There's not sufficient insulation between the box and the adjacent wall covering, and there may be air flowing through the box. Solving both problems will stop that cold air transfer into your home.
Insulate Behind the Box
There's no such thing as electrical box insulation, but there are plenty of options using standard insulation materials. Perhaps the best is spray insulating foam, such as Great Stuff. If you have access to the box inside the wall, spray the foam behind the box to fill the gap between the box and the exterior wall surface. Be careful not to get the foam inside the box. Use low-expanding foam, which basically expands without a lot of muscle. You don't want to add a lot of pressure between the box and the wall sheathing or drywall. The nice thing about foam is that it air-seals as well as it insulates, so you solve both problems with one product.
The second method is to slip of piece rigid foam insulation behind the box, using a bit of panel adhesive to hold it in place. Foam insulation works well here because compression is not an issue. If you stuff fiberglass or other fluffy material behind the box, you compress the insulation, dramatically reducing its R-value, or how well it insulates.
With your piece of rigid foam in place, it's fine to use fiberglass to fill in the cavity around the box.
Air-Seal the Box
If the box goes all the way through the wall, so that there's a pathway for air from the outdoors to indoors, you need to seal everything you can to stop the airflow. Sometimes boxes are installed back to back, or you might have a cable coming through a hole outside and into the box (or just a cover plate) on the interior side.
Stop the air by sealing around the cable on the outdoor side with an exterior sealant. This is an exterior-grade caulk that stands up to sunlight and weather better than silicone or standard painter's caulk.
On the interior side of the box, you can install neoprene insulating foam strips. These are cut the same size as an outlet cover and have the outlet holes cut out for easy installation, making a tight seal around the entire outlet and opening. Because the strips block air, they also limit sound transmission through electrical boxes (sound travels on air). In a sense, the strips might be considered electrical box insulation, so maybe there IS such a thing after all.