Low density, nanocellular polymer nanocomposite foams are considered as a promising new class of materials with many promising applications, for example to passively enhance the energy efficiency of buildings. This paper discusses recent developments in this field of polymer materials science. Particular attention will be devoted to CO2 based foaming strategies. Emphasis is on new insights concerning heterogeneous nucleation at the macromolecular length scale and the thermal insulation performance of nanocellular polymer foams. Furthermore, we discuss the limitations and challenges that remain to be solved before these highly promising nanocomposites become available on a commercially viable scale. The shortcomings in the understanding the fundamental principles involved in cell nucleation in polymer nanocomposites at the nanoscale are elucidated.