Pants first, then your shoes

There is one common mistake made by people when they begin home improvements to reduce their energy consumption. The problem is that many of the things that should be done first are not only ignored because home owners can't see them, but aren't commonly sold because they tend to be the lower cost items that salesmen are loathe to push.
As one of my instructors once brilliantly put it:

Insulation ain't sexy.

What items are sexy? Think curb appeal, or good dinner party conversation.

"Wow, are those solar panels?"

"I just picked up a new DC furnace."

"All new windows... it was getting to be time."

 Almost everyone I meet assumes I am there to sell them windows. While windows are definitely sometimes needed, they are almost never top of my list. Most heat loss for windows occurs around the window, not through the window. Replacing a window before sealing it properly might cost you much more than it will save, even in the long run.
Perhaps you have a brand new high efficiency furnace. I can't say anything bad about that, because efficiency is always a step in the right direction. However, replacing a furnace before pursuing air-sealing and insulation will only ensure that you are very efficiently producing heat that will still be lost at the same rate.
Taking care of insulation and air-sealing issues will make sure that when you do replace higher cost items, you will receive the greatest possible savings. You may even be able to get your house running efficiently enough that you can downsize your appliances, rather than use HE savings to balance your bigger, more powerful furnace.

Think of it as putting little heat pads in your mittens, only to realize that you have wandered out without a coat. You really need a good outer shell before you go pouring heat into it!

Stay well.