I just bought a new house and being in Canada it is cold.

I've replaced the thermostat with an electronic programmable one (very
good idea by the way!). But there is a problem that has come up.

For a few weeks there were no problems. But now, every morning I wake
up and the house is freezing! For some reason the furnace won't turn
on (the thermostat informs me that it has turned the furnace on).
Throughout the day it is usually fine. The furnace will turn off and
come back on before I get home from work... (except for once,
recently). But overnight, when the house is cooling down a few
degrees, I guess the furnace doesn't turn back on to warm it back up.

Any ideas on fixing this?

This is Turtle.

jeff there can be two item to look at.

You need to go back and read the opetration instruction on the
programing of the thermostat or go back and get a new [ Hunter ]
Thermostat. The cheaper thermostats are doing odd thing when running
them and i think you should go to a good thermostat like a Honewell or
White/Rogers and not fool with the hunter and Lux trash. Now that is my
opinion and others may very.

TURTLE