The number one thing you can do to save on your energy bill is to add insulation to your home. There's no point in investing in a new furnace if all the warm air it produces is floating out through your attic.
Adding insulation is inexpensive and will in most cases pay for itself with in 1 year.
One client in Irondequoit had a heating and cooling budget from RG&E of $260 per month for her 2000 sq ft cape cod style home. After adding insulation for the cost of $1295 to her attic, she was able to save an additional $100 a month. The ice damming and icicles on her roof was less and the upstairs of her home was much cooler in the summertime.