Clean or replace the furnace filter once a month to keep it operating efficiently. A clogged filter impairs furnace performance.
Have a licensed HVAC (heating, ventilation, air conditioning) professional service your furnace yearly to ensure it is operating at maximum efficiency.
Insulate heating ducts that travel through unheated areas of your home to ensure against heat loss.
When buying a new furnace, look for the most energy-efficient model you can find.

Set the fan switch on "automatic" instead of "on" or "continuous".
Use weather-stripping and door sweeps to seal doors and reduce drafts. Comprehensive draft proofing can reduce your heating bill by 20 %. Apply caulking and weather-stripping around drafty doors and windows to keep the cold out. No drafts mean a more comfortable home.
Close off air registers in any unused areas or rooms.
Keep warm-air registers, baseboard heaters and radiators clean and make sure they're not blocked.
If you have hot-water radiators, bleed trapped air from them once or twice a season.