It would be super energy inefficient. Normally you have about 2-3 feet worth of insulation in the attic which is to be treated as outside space. You want it well ventilated and the same temperature as outside to prevent ice damming from snow melting from under. You can build sky lights that go all the way down to the living space but it's generally a thermal loss more than it is a gain even from the sun light. When the sun is even out. (most of winter, it's not as the days are short) Not to mention the glass would be covered in snow most of the year and when it does melt you have ice damming to worry about, ex: there are more seals and seems involved than just shingles.
There are some interesting sky light ideas though that involve a tube, and work kinda like a periscope. If these stick out high enough through the roof and end up not covered in snow, and are well insulated they can add some natural light inside the house without that much of a thermal loss. Generally though it's best to minimize the amount of penetrations going in the ceiling and roof. For the ceiling, it means more potential air loss in the vapour barrier as it's an extra thing that needs to be sealed, and the roof it's a potential leak point.
Some people have cathedral ceilings where sky lights would work better instead of an attic you just have an insulated rafter space, similar to a wall, but that leaves less room for insulation, and often can have problems if not done right.
Now what would be really efficient is a south facing wall that has large windows and a big overhang and a dark room. In winter the sun would go right through and shine in the room, in summer the sun is a bit higher up and the overhang would shade most of the windows. This would take some rather good engineering and planing to get right though. Curtains help, but once sun has reached curtains it's still inside the thermal envelope of the house.