As has already been posted, air infiltration is the greatest source of heat loss (leaky windows, doors, air conditioners). Next there may be a problem with the heating system (dirty filter with HVAC, air in pipes with hydronic, any number of variables with steam). Of course there is always the simple - mercury thermostat way out of calibration, heat registers partially closed, furniture blocking baseboard or registers, baseboard fins covered with dust or animal hair or carpet or flooring added without raising the baseboard so that the air gap on the bottom is blocked.
However you may have come up against the design temperature of your house. When a heating contractor estimates how much heat to install in a house he uses heat loss tables and bases the design temperature on the part of the country it is located in. For example, in the Bergen County area of NJ the design temperature is 0 degrees. That means that he should install enough heat to keep the house at 68 when it is 0 outside. However, if it drops to -10 outside for an extended period then the heating system will only be able to keep the house at 58!

Most good contractors will do a heat loss and then add more heat to allow for furniture blocking baseboard, etc. The last thing we want is a customer to call and complain that we didn't install enough heat to keep them warm!
BTW - the thermostat is a simple on-off switch, not a gas pedal! Turning it up higher won't make it heat up faster.
