energy efficient home? NONE of your described options achieve, what my definition of efficient is. What you described is basically code minimum. A 2x4 wall, for that climate, is a very bad decision. A 2x6 wall with fiberglass only adds marginal r value to your walls. A 2x4 clear wall value will only perform around an r11-13 at best. 2x6 is around r-15 at best. (hint, r-19 or 21 fiberglass does not perform in a clear wall assembly anywhere near those numbers).
Your biggest stealer of energy inside your home is air infiltration. If you reduce that as much as possible, then you drastically reduce the requirements of your heating. R does not always need to be super high (mid r30s and up) to hit very efficient. Reducing infiltration and thermal bridging and having an r around mid 20s for your area would be ideal and cost effective. It will cost your slightly more, but what I try to explain to clients is your shell of your house should be your #1 priority to get right. Literally everything else can be fixed or adjusted easily later if cost savings need to be in place. Your shell is there to stay, do it right. With adding additional air sealing and insulation, you are also lowering your heating and cooling loads. This should reduce your HVAC sizing, thus saving you money on the equipment. Obviously this means a savings in energy usage for the life of the house. Payoffs in added insulation and air sealing are usually less then 2-3 years for most houses. Its the BEST investment you can make for efficiency.

Talk with your builder about air sealing. I think a 2x6 wall (either 16" oc or 14" oc spacing), with MINIMUM 1" exterior XPS (1.5-2" is much better) gives you a good thermal break in your wall (reduces cold spots). Then if you want to seal it up really good, go with stray foam. If you can afford it, do the entire cavity. If you want to seal it up nice and tight, maybe consider just 1", and then going over it with batt insulation for the rest of the stud depth. This will get you a wall around r-25 range, and a really nice, tightly sealed house. You will need your HVAC system to have an ERV or HRV, which IMO ALL new homes should have anyway. But this will result in big energy savings, and a fresher, clearer more comfortable house.
Talk to your builder about air sealing and making it as tight as budget allows. Caulk is your friend. Caulk top and bottom plates together, sheathing to face of studs, etc. This is your highest importance, next comes adding r vlaue.

As far as cost effective, spray foaming walls is not it. I am surprised that 2x4 walls would be code compliant in Ohio.

As for the choices given, 2x4 with foam would be better than 2x6 but it is pretty close. Cost effective would have to do with local pricing. In your area, I'd be tempted to do 2x6 with 1 in foam also. I think adding foam to that is not cost effective but it does depend what you are heating with. If you are doing geothermal or have NG, going over 1 inch will not likely be cost effective.

What is cost effective or not depends on a lot of assumptions and what your timeline is. More insulation always helps but to give you an idea in my climate with NG, 1 inch of foam on a 2x4 wall has a 12-15 year payback. Spray foam in a 2x4 wall is probably a 100 year payback. Your numbers might be 1/2 that or more if you are just using air source (ie conventional) heat pumps with electric backup.

As lzerarc notes, the R value and wall construction is only part of the equation.

My choice for wall structure in our cold climate is 2"x6" with high density batts and 1" of XPG sheathing. If I were thinking 25 years forward in the same home, the choice might well be different. Don't forget that windows and their placement are also part of the equation.

At the least, take at look at what constitutes Energy Star homes.

Something to think about regarding Sue's #'s - oil heat is one of the most expensive so the payback is the shortest there (and it is still 20 years). NG is about 1/3 the cost on a btu basis. Geo is usually even cheaper than NG (depends on electric rate).

I have to jump in just to agree some other things that have been said.

I finished my house up a few months ago, helping with the entire project. Insulation is not hard or terribly mysterious.
I am solidly with 2x6 construction. It makes for a solid house, and gives the room for the extra and affordable fiberglass. I also used ZipWall sheathing, which may not add much R factor, but sure is a good product.

I have a little bit of spray foam in a vaulted ceiling, which I'm very satisfied with, but the stuff is so expensive and much harder to install, which has to add to the cost. Caulk is huge. Get out there yourself if you have to and caulk everything imaginable. Its easy, but other people will not care as much as you do. The cans of spray foam come in handy for big gaps.

Caulk, stuff insulation, lay down insulation anywhere you can. We're in the midst of this blizzard in Oklahoma, and the house is warm and draft free.

Hubber's ZIP is a good product for giving you a near instant "weather seal" for the house. It eliminates tyvek which is installed wrong 90% of the time. It is a great product and I would recommend it for all sheating systems.
It does not add that much cost to the project and is well worth it. Their Advantec flooring is also a good product.

Also ditto on the caulk. Head out there after your framer leaves for the day and go to town. Spend $100 on caulk, get a decent dispensing gun, and you will save 10x that in your first year in energy costs.

For walls less than 11' tall, 2x6s provide no observable structural benefit over 2x4 walls. Your home won't feel any more solid. That "feeling" has to do with the flex of floors. However, 2x6 walls will provide you with greater space for insulation.

Better yet, you can move to Advanced Framing, which includes such things as walls on 24" centres, two stud corners and no headers in non-bearing walls. Of course, the odds are the typical built-to-Code contractor has never even heard of anything Advanced other than payments.

Buy the most recent copy of Fine Homebuilding.

They have a novel proposal for using spray foam to create an infiltration barrier and then using less expensive insulation to get the desired r-value.

Spray foam is very expensive, but there is no doubt it provides the best infiltration performance.

It is the first article in a while that has also addressed dew point location inside insulation.
If you make sure the dew point is inside the spray foam there should be few moisture problems in the wall.

2x6 walls without a thermal break take a big hit on the wood.

Wood is only about R-1 per inch, so you have bridges at every 2x6 stud with an R-value of only ~5.5.

Staggered double 2x4 works better.

I'd listen to Worthy on this topic. I regret not using the XPS on the outside of the sheathing with a blown cellulose or fiberglass in my 2x6 walls. I was gun shy dealing with local contractors trying to do something not standard.

I'd still do a sealed attic with foam on the underside of the roof. I'm sure my second floor HVAC unit appreciates it, as do I when I store stuff up there.

Pay attention to your windows and doors, make sure they are high quality and seal well. Big regret of mine.

I'd also consider getting an energy audit company to do a blower door test after insulation, windows and doors are installed to find leaks before the drywall.

Just seconding what many have said here. Infiltration is the biggest culprit. Caulking will be very helpful. Make sure that all cracks are filled, including top and bottom plates and corners. Spray foam at least 1 inch. Like lzerarc says, quality windows and doors make a big difference. If you don't install the Tyvec properly, don't use it at all.

bdpeck- I'm building in Mint Hill and would love to ask some questions about your build. If I remember correctly, you were building in the area. You can email me at lez_ryan@yahoo.com

We're on the MN / IA border. We used 2x6 with 3-4" of spray foam on all exterior walls, joists, around windows/doors, plus garage walls, garage ceiling. We have geothermal and radiant floor in garage and basement. I would assume 2x6 would be standard in your area?!? I would try to budget for at least an inch of foam if you can.