Here is how we capped our heating bills:
Woodstove– We have a fireplace inset that very efficiently heats the house. We use seasoned firewood and a cleaned chimney. Fires are run from about 4:00 PM until about midnight and then the embers continue to throw off heat for another two hours (here are my posts, http://divorceddadfrugaldad.com/2008/11/13/firewood-posts-revisited.aspx)
62 and dressed– Our thermostat is set for 62 degrees and we don't run around in shorts and t-shirts. You may think 62 is low, but with the fires the house, when we are home, is in the high 60s or low 70s. The oil burner only kicks on around three times per day: around 4:00 AM, 10:00 AM, and 2:30 PM (when we sleep and when we aren't home)
Space heaters– We don't have zone heating, so we sometimes use space heaters to warm targeted areas in early and late winter season or on exceptionally cold days
Doors closed– We are hawks about the front and back doors, and most importantly, the garage doors