Windows and doors are the largest culprit in lost of energy efficiency. It may not be the cheapest option but will provide you with the largest impact.
We have written on good bit on this subject: Please take a look at these blogs we wrote!
http://blog.akatlanta.com/2010/11/10-mistakes-not-to-make-when-heating.html
http://blog.akatlanta.com/2010/11/7 ... read more