I don't entirely agree with the suggestions on that page. Windows and doors are going to have the longest payback, depending on how you do the math they may never pay for themselves. They are in the business of selling windows so of course that's going to be high on their list.
Their first suggestion is turn down the thermostat, I would take this to the next level and get a programmable thermostat and set it back at night and when you aren't home.
If you have a fireplace, consider getting a high efficiency wood burning stove insert for it. We did and ours can heat the entire house.
I would recommend getting an home energy audit including a blower door test. Air sealing is by far the most important step, if you have too much air moving through your house then it won't matter how good your windows are or how much insulation you have. Air sealing and insulating are far more cost effective ways to lower your heating bills.
Greener People for a Greener World TM