Fascinating energy fact: around 1/3 of a home's total heat loss usually happens through windows and doors. Since windows are the worse offenders, consider implementing the following to decrease loss through and around windows.
You can either fix windows up or replace them with new energy-efficient units. Don't bother to fix a window that has cracked glass, rotted or otherwise damaged wood, locks that don't work, missing putty, or poorly fitting sashes. But if the window is basically sound, it is probably worth your while to do a little weatherstripping, caulking, and installing of storm windows.
To check for leaks around your window, hold a lit incense stick near the window. If the smoke does anything but float up, you've got a leak that should be stopped up with a little weatherstripping.
Weatherstripping the window edges and cracks with rope caulk is cheap and easy. You can actually take rope caulk off when the weather turns warmer, store it in foil, and reuse it for 2-3 years. Once it hardens, though, toss it.
Weatherstripping the windows themselves takes more money and effort, but once its done then its done. A top-quality product should hold up for years. Depending on the type of window, you will either need compression-type or V-strip weatherstripping. If you don't need to open the upper sash on double-hung windows, you could permanently caulk them closed.
Storm windows will double the energy efficiency on single-glazed windows. For those of you having flashbacks of your father dragging out the heavy storm windows in the fall and muttering as he climbed the ladder about moving to Mexico before he ever did this again, take a deep breath and thank your lucky stars you live in this age of technological miracles. Somebody actually came up with a non-window storm window! You can get plastic film that is duct taped to the inside of the window frame where it acts as a storm window and lasts for 1-3 years. (You should also be thankful for the invention of the hair dryer since some of the inner storm window kits have incredible shrink-wrap plastic that you heat with the blower to get rid of the wrinkles.) This is a great option for apartment dwellers.
If you are going to live in a house for a more than a few years, you probably should bite the bullet and get real, grown-up storm windows. First, look in the attic and garage to make sure there aren't any already squirreled away. Those old wooden storm windows could actually be more energy efficient than the newer combination storm/screen windows.
If you already have aluminum storm windows, make sure they have a tight seal where they are mounted to the window casings. Caulk any cracks you find, but do NOT caulk the small weep holes along the bottom edges.