Make sure as much of your house is insulated as possible - that means, walls, floor and ceiling, as well as the loft floor to stop heat escaping through the roof itself. A big problem which occurs during winter in badly insulated houses is icicle formation. This happens when heat escaping through the roof melts snow, which runs off into gutters and either refreezes there or on the edge of the roof.
Your exterior walls are also prime locations for insulation. Cavity wall insulation can be installed for relatively little cost and will make a big difference to the amount of retained heat and as a result, your heating bill.
Windows and doors can also be a liability when it comes to retaining warm air. Windows should be double-glazed and filled with insulation, usually argon gas, between them. To stop draughts getting in through the frame, insulate each edge of the frame and test the seal by holding a match near the window - if it flickers, air is still getting in.
Another area to check on is telephone or TV entry points into the house - if you've had satellite television installed they will most likely have had to drill a hole through your wall to run the cables, so check these are properly sealed too.