I've added a new section to collect schemes for insulating underground pipe runs:
http://www.builditsolar.com/Projects/SpaceHeating/Space_Heating.htm#UGPipes
Currently it shows the scheme I used on my Solar Shed, a commercially available solution.
The new section also shows an interesting method suggested by Don Stephens (of AGS). He makes mix of Portland cement and polystyrene foam beads (as in foam coffee cups). This is similar to the building material called Rastra, and has an insulting value around R1.7 per inch. He lays down a thick bed of this in the trench and waits it to harden, then he fastens the PEX pipe lines down with large staples, which apparently are easy to embed in the soft cement. He them pours a 2nd thick batch of the bead-crete over the pipes. Once its dry, he covers with poly film and backfills the trench. Because of the relatively low R value per inch, you would have to use a greater thickness than for something like XPS rigid foam, but it may still be cheaper and easier to do this. Don's more detailed description is at the link above.
If you know of any other good schemes, please let me know.
Gary