For many people, turning the thermostat down (or up) is fixating on the symptom, not the problem.
The problem is a home that has not been made energy efficient, and you can get a long ways for little to no money (technically for a small but significant gain if you consider you are increasing the value of your home!). And even when you start making more expensive improvements you are directly adding to the value of your home (and possibly adding more value than your expense even if you don't DIY!).
The average January low in my town is 9F, yet with a 1600sqft home set to ~65 at night and ~70 during the day the january heating bill is always less than $70, with a yearly total of ~$350. Why? Attic insulation, wall insulation, double pane/low-e windows (plus insulating drapes!), and a 90% efficient furnace.
If we tried harder and were more stingy with the thermostat, we could probably get the yearly bill in the range of $250. In the summer (aver july high 90F) we run the A/C pretty hard (temp set to 74) for a couple months but only spend ~$150 a year on A/C.
Do these things in this order:
* Close vents in rooms that you don't use (but ONLY in the winter, A/C works better/cheaper with all vents open!)
* Attic insulation (install or ADD -- insulation compacts over time and loses efficiency!) -- By far the biggest bang for the buck, heat rises!
* Window/Door weatherstripping/sealing and/or storm doors
* Foundation sealing (should do this regularly anyway!)
* Insulating window treatments (heavy drapes, cellular shades, etc.) + making use of the sun for heating.
* Wall insulation (cheap if you DIY, but tedious as it typically involves cutting holes in your walls and then patching/painting).
Insulation and sealer are CHEAP! Even retail you can insulate an attic on a typical mustachian sized home for $150-300 before rebates (from fed, state, city and/or energy company). With rebates and a little hustle you can probably get it for somewhere between dirt cheap and making a profit from others left overs. And can be installed pretty easily by yourself. The attic is trivial, the walls are easy but tedious (and takes some practice to patch the wall nicely). And frankly, if you are heating a non-insulated house even having a pro come and do attic and wall insulation will pay off in a very short amount of time (a couple years) between energy savings and value increase of the home.
Then you can move on to the more expensive more difficult to DIY stuff (but most of their expense improves your property value at LEAST 1:1)
* Double Pane/Low-E windows (cost depends on how many/how big windows!)
* Modern/Efficient Furnace (2-3 grand for a small to moderate size home with a gas furnace)