Your heating and cooling distribution system is complex and deserves a complete analysis, including leakage test, flow rates, etc, to perform at optimum levels, but the following measures should always be taken. Heating and cooling can account for about half of our power consumption, so reducing usage will go a long way towards reducing your energy bills, our carbon footprint, and our nations dependence on fossil fuels.
Turn the thermostat up, or down, a couple of degrees as the season dictates: That's an easy one
Install a programmable thermostat, or learn how to use the one you have: It'll take care of itself.
Clean/Replace air filters every 30 days during the heating or cooling season: Probably the most neglected chore around the house. Do you know where yours is located, or the size you need? Find out!
Have your furnace serviced yearly by a qualified HVAC contractor: Keeping it tuned up insures it's not just doing it's best, but not leaking dangerous Carbon Monoxide into your home either.