The goal of any insulator is to limit heat conduction. Gases are poor conductors (and therefore good insulators) since the atoms that make them up are so far apart. The foam insulation that is used in houses is made up of little "bubbles" if you look at it close up. The outside of the bubbles are a poorly conducting plastic, and inside the bubbles is air. The air is also a poor conductor, as it's a gas.

If you want an even better insulator than a gas, try a vacuum. In a pure vacuum there are no atoms, and therefore there can be no heat transfer. A perfect vacuum is a perfect insulator! A thermos works this way. A thermos has two containers (one inside the other): a metal or plastic container on the outside, and a glass container on the inside. Between these containers is a near vacuum (no perfect, though). There's a little bit of gas in there, so some heat conduction will occur. But since there are so few atoms to transmit heat between the containers, your items will be insulated for a long time. And that's how a thermos can keep cold stuff cold and hot stuff hot!

A cheaper thermos bottle probably won't have a vacuum between the containers, just air. Sometimes they come apart, too. So you could take it apart to show your students how the design (with the insulating gas layer) keeps stuff how or cold.