I've actually been amazed by how I've not seen measurable improvements from doing all the standard insulation upgrades. Our bills were already quite low compared to others, so I guess the previous owners did all the big things. I've replaced the furnace with a higher efficiency (went from 92% to 96%), replaced old single pane aluminums with new double pane, had exterior insulated siding installed, did all the caulking around all the openings, had attic insulation checked (and the contractor declined to add anymore, said it was packed full as it was), added insulation internally everywhere I could (including attic fan and even plugs/switches on outside wall).
Gains in measured efficiency are totally lost in the noise, I can't say my bills have dropped a single dollar nevermind starting towards a real ROI in my lifetime. HOWEVER, the house feels a LOT more comfortable year round in the corner rooms.