For reducing energy use, air sealing and insulation provide a very high return on investment in improving the efficiency of the home, as does replacing a heating system. So of the five common measures that I've listed, three of them—or four of them, if you count the two insulation measures—are really effective. Replacing windows and doors is popular for lots of reasons, but it's not one of the highest-impact measures from an energy perspective. It increases comfort by reducing drafts and, obviously, there's a cosmetic improvement when you get new windows and doors, but it doesn't have a really significant energy impact.
On April 15th, 2010. See this statement in context.