Have you ever wondered why so many large chain stores have two sets of doors? No, it is not just to store shopping carts.
Where I live, any home that is around 100 years old (that hasn't seen any renovations) will very likely have two front doors. Putting it simply, you open one door, step into a small space, and there will be another door in front of you.
(Image Sources: Image 1 | Image 2)
The space goes by many names, including: arctic entry, mud room, breeze room, vestibule, airlock, foyer, and more. For sake of simplicity, I am going to call them "entry vestibules."
Entry vestibules create a buffer between the outside and the inside of the building, preventing drafts. This can help greatly with temperature regulation in both the winter cold and summer heat. I can't find number details on energy saving, but the fact that large chains still build them may hint of their importance for money-saving.
In homes, this space also typically serves as the mud room ( a place for shoes and jackets).
In the name of "first impressions," and open concept designs, vestibules are often the first thing to go during renovations, and I think that's a real shame.
Smaller houses had them too. I have been in a ton of houses from the early 1900s or late 1800s that had the entry vestibules.
You are right that advances in insulation and HVAC have made them less common. Another factor is people tend to come in through a garage, so there is a mud and/or laundry room there that acts in the same capacity. Older homes usually only had a back door and a front door with no garage so the main point of entry for the homeowners was the front door. Larger homes did sometimes have a porte cochere with a side entry to the home with a mud room, those houses usually had a garage built onto the home where the porte cochere was.