We have a programmable thermostat (actually 4, but I don't heat one area of our house). This is actually a reminder to me to recheck them, as I get up at 5 am, and my kids tend to wipe out early and want to get up at 5 to make up any homework they didn't get done (DS has ADHD, and even with his afterschool dose of meds now, he has a hard time by 7).
Anyway, I have it at 65 or so during the day, 62 at night, but when I get up before anyone I put it up to 69 for a while. Takes maybe 20 minutes tops to feel really warm downstairs (the two that I set at that). The upstairs one I leave alone. I figure they can get up and come down!
It is hard now that it's cold! I hate sleeping in a warm room - when I lived with my parents still, I left the window open during the winter (in St. Louis!). My dad is some heat freak - I swear he puts their thermostat to 80 or more! I like about 60 to sleep.
So, I guess my answer to the OP is about 20 minutes tops. We have 4 zones for about 8000 square feet (finished). Our old house was 3500 square feet (except the basement) and we had only one furnace. The heat was fine, but the a/c was not when it was hot.