Wal-Mart sells a window/door plastic shrink wrap kit pretty cheap. You use the double sided tape to make a square around the window, stick the plastic sheet to the square of tape, then heat the plastic with a hair dryer. The plastic shrinks down as tight as a drum and stops the drafts from coming in and the heat getting out.
Also, buy the foam weather stripping. Put a strip on the underside of your windows to get a good seal between the window and sill. Obviously you should do this before sealing it off in shrink wrap.
I put the foam weather stripping completely around the front door, then close and lock it. I don't open it all winter because it's in the living room. I weather strip the kitchen door too, but have to replace the stripping as needed throughout the winter. We only use one door in the winter, and the other one being sealed also cuts down on heating costs.
You can get weather strips for the bottom of doors that are nailed or screwed into place. to cut down on drafts coming under the door. I use on on my kitchen door and my basement door and they work fairly well.
I use these things every year and for a $20 investment it damned near cuts my heating bills in half.
Also, I keep my thermostat at 67 degrees. I keep my bedroom at about 55 degrees because I like it cool when I sleep. My wife . . . . has gotten used to it.
Oh yeah, fill any holes from cable TV installers with expanding foam. You can find it in a can with the other weather stripping stuff.