In all our talk about saving money in tight times, we've neglected to talk about how to save money on utilities. Consumer Reports offers an article titled You can save $1,500 with these 4 strategies (it is a pdf file, sorry) that does provide some basics. But their money-saving strategies are still kind of pricey in my book. An energy audit, while worthwhile, can still set you back from $300-$800. Incense sticks, however, are very cheap and can help you find the worst drafts.
Weather stripping really makes a difference. We added weather stripping to our front door, and the breeze that had been in the front hallway disappeared.
Never underestimate the power of caulk. If you house was built in the 70s or 80s (or earlier), it probably needs the old caulk scraped away and new caulk applied. This is not that hard to do, but if you've never done it before, start with a window that does not face the street. And use clear caulk.
You can, of course, spend a huge amount of money on new windows, but in a lot of cases, insulated curtains work pretty well for a fraction of the cost. Now, I have never seen truly attractive insulated curtains, but I have seen inoffensive ones.
Finally, turn down your thermostat and slip on a sweater. Or, turn it down when you go to bed and throw on an extra blanket.