When undertaking the renovation of an historic masonry building, there are two major issues that must be dealt with early in the design phase - what to do about thermal insulation and old windows (I'll deal with windows on another day). If the building was built before the 1950's, it is likely that the building was not designed to take advantage of our current HVAC technology, so don't expect to put in a simple set of ducts and a furnace and move in. As I have been learning more about renovating masonry structures, I have realized it's much more complicated than that.

The first source of information for any historic project is to consult the
Secretary of Interior's Standards for the Treatment of Historic Properties and the
preservation briefs. The standards represent the consensus opinion of historic preservationists and will serve as a guideline for most phases of the project. Some of the requirements may sound expensive or unnecessary, but I strongly suggest following them. If anyone chooses to disregard this advice, please consider doing a lot of research into alternate options before making a final decision.
Keeping heat in your building requires a thermal envelope. When it comes to thermal insulation, brick is a disaster. Don't let anyone lie to you, this material is a horrible insulator. Sometimes you will read about the benefits of high mass, a mass factor (or M factor), adjusted insulation value, or similar theories. Some of these claims are true under specific conditions, but not in a cold climate. The important thing to understand is that the
R value of historic masonry is not high, thus heat and cold will transfer readily through the walls. Masonry walls are typically rated about R = 0.15/in, so a 16" thick wall has an R = 2.5. Minimum standards for a new building in the midwest are approximately R = 16. This means a modern building has a wall that transmits heat 8x less than a typical historic masonry wall.
This assumes that the R = 2.5 value is accurate, while in reality it may have an actual R = 1.5 or less, there is just so much uncertainty that it is wise to be conservative in your calculations. Basically, the old brick wall is going to need some help in the form of additional insulation. It is possible to add insulation on the exterior or interior, with the interior being much more common because who wants to cover up the facade of an historic building? At this point, we must introduce the next complication:
moisture.
Insulating a brick wall by just throwing up some fiberglass batts or foam board puts the brick wall in a bad situation. The wall is the same temperature as the exterior weather, but is exposed to interior air. This will cause condensation on the interior surface, just like the water that puddles around a cold glass during a humid summer day. A typical building has an interior
Relative Humidity level of 30% or so. This is a lot of moisture (a lot!), and moisture/water can easily destroy an historic building. If the walls are cold and exposed to the humid interior air, the wall will generate a nearly unlimited amount of water over the life of the building.
Wet insulation has an R value of nil, and wet wood stud walls is a recipe for mold growth.
Attempts have been made to reduce the exposure of walls by way of vapor barriers, but this usually just seals in the moisture. Trying to reduce the problem by incorporating vents usually defeats the purpose of insulating in the first place.
As of right now, there is no easy, cheap way to insulate. Large, expensive renovations should consult a specialist when dealing with this scenario, because conventional construction methods will not work. Smaller scale projects should probably base their solution on proven methods, and luckily we now have some great examples. So here are the success stories:

The best one I have seen yet is a
renovation done for Harvard University, the Blackstone Office building by
Bruner Cott (certified LEED Platinum).

Another source of information is the renovation of the
Portland Armory building. This was renovated for the new home of a theater, and they faced many of the same issues as a typical masonry project as well as some special ones because of the large interior spaces. Also certified LEED Platinum.

Finally, the renovation of the
Lofts St. James in Montreal. As with this project, any successful strategy involves finding a way to control heat flow, moisture flow, and air flow. Every project is unique, especially when dealing with existing buildings, but there are always ways to get across the finish line.