The single biggest thing you can do to lower your heating and cooling load (besides changing the thermostat) is going through and repairing cracks in your walls. You can have the best windows in the world, but if they aren't properly sealed, they aren't doing very much.

Some of these may be more obvious than others. The best thing to do would be to have a blower door test. If you don't want to spend the money on this, keep an eye our for areas that appear drafty. Check corners, edges of walls, and areas around windows and doors. Explore on cool, windy days where it'll be easier to feel air moving through. If you think you don't have any, keep looking. You have some.

Seal up the areas where the drafts were found using caulk (you can find this at any hardware store).

You're sure to have missed some the first time through. Materials expand and contract with changes in the weather, so it's important to do this at least a couple times. You also want to make sure the areas you got the first time are fully fixed.