I think the number one thing would definitely be to have an up-to-date, energy-efficient heating appliance (boiler, furnace, etc...). Of course, there is big up front cost in that one.
The next thing you should do is insulate. I was just reading an article on ThisOldHouse.com about insulating. Check for air drafts in and around recessed lights,windows and outlets by burning an incense stick, bringing it around and checking to see if there is smoke blowing out or getting sucked in to any window cracks, outlets, etc... There is a handy product called "Great Stuff" and it is basically foam insulation in a can. You can use this to fill any holes, etc... that you come across that will be hidden by outlet plates, etc.... For windows, be sure that there is a nice tight caulk seal around the windows and that the old caulk hasn't cracked or broken off in any places. Some major places that blow your money out the window so to speak are the holes that your plumber or electrician made when running pipes and wires though the house, although these spaces are sometimes not easy to get at and seal, being as they're usually behind your sheetrock or plaster walls!
Also, this may sound stupid, but turn down your heat a few degrees and put a sweater on. Make sure that if there's no one home during the day that you turn the thermostat down to 60 degrees. Same for the nighttime, turn it down between 60 and 65 degrees, depending on what you can tolerate when you're sleeping.
Some other random things- insulate your hot water pipes. Make sure your thermostat is accurate. Be sure to clean/replace any air filters associated with your heating system. Setting up "Zones" is also something that is costly but sure to save you money- you can adjust the heat in certain places (upstairs vs downstairs, etc...) to be higher in the rooms that you are using and lower in the rooms you won't be in. You'd have to talk to your plumber or A/C person to get prices on that.
To sum it up, the cheapest, easiest way to save money is to insulate.