Not all dome skylights offer more insulation than what you can get from a flat skylight. However, you can get models of dome skylights that are double or triple insulated compared to a regular flat skylight. If this is the case, your home will be much more insulated and it will require less electricity or gas to heat the space.
Dome skylights can also allow light into the house regardless of the angle of the sun, which also helps with heating the house during the cold winter months. These lights also allow water to run off more easily, which means that the glass will be cleaner and allow in more light.