A hole the size of a pinhead can change the surrounding temperature by several degrees, especially when the wind blows, so don't assume your home is snug and energy efficient.Sargent also mentioned that a small leak can bring in one cubic foot of air in less than an hour. Think about just one small leak and reheating that same cubic foot of air 24 times a day and it can add up.
It really pays to go over each room inch by inch, even if it's brand new. Set aside some time to caulk, plug and insulate your way to more comfort and lower utility bills. Get some help if you can, and make a day of it.
A good way to find air leaks is to light a candle and move it very slowly around the room. Watch the flame, and if it blows away from the window or door casing, or baseboard, look closely for the leak. (Be careful not to breathe on the candle, so you can see which way the flame goes.) When you find the leak, you can seal with plaster of paris, spackling compound or foam tape, as well as caulking, depending on where they are and the surrounding materials.
If you can, replace single pane windows now, or use storm windows or plastic sheets that come in a kit just for that purpose. Look into insulated window treatments like shutters and shades, and heavy drapes, especially for north windows.
Read more hints from about.com.
Also, if you plan to follow this hints or have already done them, feel free to share your ideas and results with everyone.
A penny saved is a penny earned.
Also, here's a link to the original post on Lifehacker that inspired the conversation with Jim Sargent.