We hope to replace our furnace and A/C next spring. The both are about 20 to 25 years old, and aside from being on their last legs, we hope to replace them with more efficiant models. Our windows are new(er) but I'll be putting the plastic film over them this winter. Since this will be our first winter in this house, we'll have to wait and see if there are any place that cold air seems to be coming in from before we do anything further.
I also asked DFi about puting in a wood fireplace so we could partialy heat the house with wood, but he said it would be rather expensive, and we don't have the money right now. But something to think about in the future, we'd get much of it back when we sell the house.