Ideally there would be insulation behind it rather than a gap; if you're talking about the vertical sides to the window, insulation backed plasterboard bonded on with foam would be best. For other areas, if there is a chance it will be exposed to draught, rigid foam may not be best. Though wool doesn't perform as well a PIR/PUR in a lab, it is easier to fit and deform around awkward shapes leaving less opportunity for draughts to reach the plasterboard. Of course, rigid would work well if it can be guaranteed sealed up to be draught free but doing so can be really fiddly and time consuming in restricted space