Answer:
Replace windows/doors with energy efficient windows/doors. Old leaded glass windows, especially ones with a draft (they don't seal properly) create major heat/cooling loss. Make sure that your home has proper insulation as well. In an effort to cut costs many homes are inadequately insulated.
Small steps are to replace all bulbs with EE bulbs that can be found almost anywhere. They cost a bit more but pay for themselves with energy savings. Turn off lights that are not in use, take shorter showers, lower the temp on your water heater, and use less AC and heat (ie set heat to 65 instead of 70).
Outdated heating and cooling systems are incredibly inefficient also.