We bit the bullet last year and got new windows for our house (we didn't really bite the bullet too bad as they were a Christmas present) and that has really cut down on our overall heating bill. That, combined with monitoring the thermostat more regularly and turning it down when we're not at home, etc. I would suggest that to anyone that doesn't do that now, as it saves you quite a bit of money that you wouldn't imagine. Another good way to save on your gas bill is to turn your water heater down to 140 degrees as that is more than sufficient for heating your water for your personal needs. That will save a good chunk of change as well. So, what if you can't do new windows or need alternative options.
There are other options for winterizing and saving money, even if you have an old house with leaky windows. Start by going up in your attic and checking out the insulation that is present. If there is minimal insulation or it's less than 6 inches thick, you may want to consider getting more and lining the attic with it. This will save the most money and keep you the warmest in the winter as heat rises and without adequate insulation, your losing a lot of heat. Another great way to keep from losing heat in your home is to buy plastic window insulation that will provide an airtight seal against the drafts that might plague old windows. 3M makes a good product that I have used in the past and it does work quite effectively.
There is always the tried and true method of using more clothing in your home and just turning down your thermostat too. Wearing slippers and sweaters around the house will save you some pennies too, but can get old pretty quickly.
If you have a wood burning fireplace in your home, this would be an additional way that you can create heat without using the furnace. We do this in the winter with our fireplace and have to secure wood before the cold sets in to do so. This isn't so hard being in the Midwest though. Right now, there seems to be an abundance of firewood suppliers trying to earn extra money or doing it as a living with the job market being as thin as it is.
Lastly, check around the seals and the trim on your windows and you can caulk any areas that need to be airtight. Make sure you don't caulk the area that will need to move when opening and shutting the window though, unless you want it shut for good (or until you cut it open with a utility knife anyway). This is a really great way to cut down on drafts from the windows and can save lots of money as well. Check the doorways also and see if they are in need of caulking.
Good luck and I hope that this winter will find you safe and sound.