Every removable pillow and cushion goes in that room, against the walls.
Any kind of cardboard or foamcore can be pressed into window wells or taped over. Put wadded up newspaper or bubble wrap between the pane and the foamcore. Duct or painter's tape can hold the cardboard or foamcore to the wall. Mound laundry and blankets around you. Make sure pets have a similarly squishy bed to curl up in. Pet carriers are great for huddling in, and it's good to have them out anyway in case you MUST relocate. Food and water go close enough they don't have to come all the way out, if they don't want to.
Remember that to insulate, air pockets are necessary. Don't pack clothes or newspaper loose, but don't squish all the air out either. Insulation is made with foam or blown fiber for a reason. Air pockets in a non conductive material trap the cold instead of passing it on.
It is honestly way less miserable stuck in a single, insulated room than free roaming a house that is cold.
If your area is expected to be hard hit, prepare some of this in advance.
Keep your phone charged BEFORE the power goes out! Put it back on the charger when it reaches 80%, I am not kidding.
And, final tip, if you go outside and get REAL cold, take your clothes OFF when you get back and put different ones on. Preferably ones the cats have been laying on, but even if they are cool, as long as they are warmer than the ones you have been in outside, you will warm up faster. Even swapping just outer layers is helpful.
OH!!! Also, don't burn candles in the weatherproofed room. Bad for pets anyway, and they will use your oxygen and put carbon monoxide into the air, and that can make you sick. For real, even in a big house, constant candles will make you feel so gross after a while, and carbon monoxide BUILDS UP, from what I understand, it doesn't purge through lungs like carbon dioxide, it binds in your blood like oxygen and circulates like oxygen, using up space the oxygen would be using. It will build up over hours or days and make you feel nauseated, grody, headachy, and just generally foul. They are warm, but they aren't good for you. I made myself real sick like this in '07. Don't make my mistake.