Roll(s) of plastic sheeting...You'll be glad you have it! This one item can save you so much trouble in the long run.
Many uses including:
1. Blocking light from escaping windows. It's better "they" don't know your in there.
2. Sealing broken windows. Whether its a broken pane or sash, trying to heat your area will be extremely inefficient.
3. Wrapping cadavers.
4. Gathering rain water.
5. Use as a tarp.
6. Numerous other uses I can't remember right now.
These rolls of plastic come in clear and black. I went with black, extra heavy duty (6 mil thick), and plenty of "double sided duck tape" and "gorrila" tape. If you have the funds, get some clear plastic too. That way you can seal the broken glass and still let light in...but also drape a piece of black plastic that can be used at night.