Lower the thermostat.  For every degree you lower the thermostat, you save 3 - 5% on your total heating bill.

A programmable thermostat is an excellent investment. 

Caulk & weather-strip all windows and doors

Tape and seal leaks in your duct system. 

Clean or replace the filter in your home at least one every 30 days during peak winter usage.

When using the fireplace, turn your thermostat down.

Keep the damper closed when your fireplace is not being used.

Dust or vacuum the vents in your home to ensure the free flow of warm air.

Have your heating system serviced prior to the heating season.  This will make sure your system is operating at peak efficiency.

If your furnace is over 14 years old, consider installing a high efficiency furnace.

Seal gaps between heated and unheated spaces.  This may be around pipes, ducts, fans or vents.

Consider installing ceiling fans with reversible motors.  In the winter, fans push warm air that collects at the ceiling level back down into the room.

Install adequate insulation.