There are different types of drapery linings that serve different purposes like insulation, light reduction, water repellency, and more. Insulated interlining adds volume and insulation to your window by placing it between the fabric and drapery lining. Thermafoam lining is light weight and cuts down on light exposure without completely blocking out the light. Blackout lining is lightweight, opaque, and completely blocks out the sun. Flame retardant lining also provides thermal and noise insulation. There are many variations of these linings available.
For more information, read How To Pick Drapery Lining.