I am building a new bathroom where the tub is on an exterior wall. The wall is masonary and I will be using cement board. However, what do I use between the cement board and the masonary wall.

Also, is it o.k to use regular drywall in the other walls in the bathroom, or should I use a special drywall?

Lastly, what insulation do I use for the other walls in the bathroom?

Any help on this would be greatly appreciated!

Is the masonry wall exterior or interior? If exterior you can use standard fiberglass insulation, or have foam sprayed in between the studs. It's okay to use regular sheetrock in other parts of the bathroom as long as there is no chance it will be subjected to direct moisture exposure.