cinderblock, rock house..
The best bet would be to frame 2"x4" walls so you can add batt insulation and you have plenty of room for boxes, wiring, etc. That is of course IF you can spare that much room and still work in whatever type of tub and/or shower you are planning on. If you end up using the furring strips, you can use 3/4" foam board in between to give at least a bit more R value....
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