We had a home efficiency test done in our home a couple of weeks ago. This service is provided free through our electric company. According to the guy that did ours, a lot of electric departments are doing them now (but not all do the more thorough fan at door test). He also had a heat sensing camera that he showed to us as we walked through our house.
The biggest thing that I learned is that a lot of cheap, energy efficient things that you can do to your house can be done at the time it is being constructed. It is much harder to go back and retrofit a lot of the changes. However there are some things that you can do to help. One thing is that there is a lot of energy loss through attic doors. He recommended purchasing a cover to go over our pull down attic entrance (dh ended up making one himself but one product is called "Battic" something or another). Another thing you can do is seal any place that can leak air out (behind switchplates, electric outlets, plumbing fixtures, etc). DH ended up buying a couple of cans of foam in a can and went crazy around our house. There are also valves that can be installed in dryer and bathroom vents that can help. Another thing is to go into the attic and make sure your insulation covers all of the walls and floors. Up in our attics we realized that when our house was built, the installation installers missed several spots.
It was a little frustrating that we built our house only 2 years ago, and had we known then, there was a lot of things that could have been done to make our house more energy efficient. I would definitely recommend anyone who is in the process of building a house (preferrably around the rough-in stage) to look into what can be done to improve efficiency. Most contractors are unaware of the simple things that can help improve the energy usage in a home.
The gentleman that did our energy audit said that some private companies charge $2,500 to do what he did at our house. I don't know if he was exagerrating, but it is worth looking into.