If you have an attic you will want to check your insulation. If it is looking a little thin or sparse you will want to add some extra insulation. This will keep you from losing as much heat in the winter as heat rises and will escape through your attic if it is not properly insulated.
Add weather stripping around doors and windows.
While you are adding the weather stripping, check for cracks around your doors and windows. You will need to caulk these.
Outlet gaskets are great to add to the outlets that are on the outer walls of your home. These gaskets help to eliminate drafts. Drafts are a great way for heat to escape from your home (and for cool air to escape through in the summer).
If you have a furnace you will want to clean it and replace the air filter. Dirty furnaces and furnace air filters can cause fires.
Service your wood stove. (This might include needing to change your wood stove gasket). If you are not comfortable cleaning your chimney and checking your wood stove over yourself, then you should be able to find a professional chimney sweep in your area that you can hire to do these things for you. Better safe than sorry.