How does sun light after it has passed window's pane still heat me up? I believe it is so because most of photons' energy has successfully passed the glass. But is it so? And how can I roughly estimate part of light's energy which will pass obstacles like glass?
And how fast beam will of light will lose energy while traveling from window's pane(What is the rate of heat loss)? Thanks.
 A: The sun emits a spectrum from infrared to ultraviolet.
 

Solar irradiance spectrum above atmosphere and at surface. Extreme UV and X-rays are produced (at left of wavelength range shown) but comprise very small amounts of the Sun's total output power. The plot tells us that infrared radiation is almost half of the spectrum.

There exist measurements of solar radiation transmission through glass


Transmittance Spectra of Five Types of Glass

These plots tell us that clear glass transmits 90% of the impinging radiations in all wavelengths. When in sunlight the heat felt on the body is from the infrared radiation and from ultraviolet that is absorbed and turned to heat. With clear glass the feeling of heat is not affected much, a slightly cloudy day would have the same effect.
The most heat absorbing glass, green curve, lets visible light through more and  blocks more infrared .
All glasses block most of the ultraviolet.
Integrating over the transmittance one may see, depending on the glass, the total energy passing through the glass. Eventually all of that energy will turn to heat due to multiple reflections in the room but direct heating will be felt by the percentage of infrared transmitted.
Note: heat absorbing glasses are used for special purpose in optical systems, and absorb the heat and then dissipate it in the air surrounding them. They will not be found in a usual window, but can be used in outer layers of glass windows to reduce transmission of infrared.
you ask:

And how fast beam will of light will lose energy while traveling from window's pane(What is the rate of heat loss)? 

There is no time lag, as the light passes through the glass at close to the velocity of light in vacuum ( modified by the index of refraction). 
