I pondered the same thought in 2004 when deciding how to better my
heating situation.
After weighing the costs and benefits, this is what I did:
1) Instead of putting in a gas or wood insert into the fireplace I just
plugged the fireplace with a chimney balloon. this kept cold air from
comming in throught the fireplace damper since I wasnt going to use it
anymore anyway. ($40)
2) I bought a 90% efficient power vent furnace and water heater.
($3,800 installed)
3) I caulked my windows and replaced the front door which leaked cold
air (Cost $120)

Comparing my next heating bill I figured I saved $350 over November -
December - January. (if I dont figure in the increase in heating gas
that happened in 05)

Overall, I am more inclined to look for ways to eliminate wasted heat
than look to get cheaper heat, but that is just me...

Jerry