Consider getting your furnace (HVAC) inspected by a professional
Remove all combustible materials away from the furnace
Change your furnace filters monthly
Fireplace
Cap your chimney to keep out rodents and birds
Contact a chimney sweep if your chimney hasn't been cleaned in awhile (especially important if you use your fireplace regularly, creosote builds up and becomes a fire hazard)
Inspect your damper for proper opening/closing
Doors And Windows
Inspect exterior doors and windows for cracks-seal
Install weather stripping
Replace cracked glass
Cover windows with plastic to seal out cold air
Roof/Gutters/Downspouts
Install extra insulation in attic if temperatures regularly fall below 32 degrees
Check flashing to assure water cannot enter your home
Clean debris out of gutters
Clear debris away from downspouts-spray with a hose to flush out anything caught in the downspout
Foundation
Rake away all leaves and vegetation
Seal up entry points to keep small animals from entering the house or nesting under your foundation
Inspect for pest infestation
Secure crawlspace entrances
Equipment
Drain gas from your lawn mower
Winterize boat
Tune-up or service snow blowers
Replace rakes and/or snow shovels
Purchase icemelt, sand or kitty litter
Smoke Detector/Carbon Monoxide Detectors
Test to make sure they work
Buy a fire extinguisher or replace yours if it is greater than 10 years old