A good place to start is with your heating system itself. The easiest way to save energy and reduce high heating bills is to turn your thermostat down. Keep it at 68 degrees or lower during the day, and turn it down by 6-10 degrees when you are away from home during the day, and when you go to sleep. If your system has a filter, change or clean it monthly. Having your heating system periodically cleaned and tuned will assure that the system is running efficiently and safely.
If you can get access to an energy audit, or energy rating service (pretty much the same as an audit), be present when the audit occurs. The report from the audit will tell you the most effective ways to improve your home.