Most importantly, check the filters regularly and change them when they are clogged enough to slow down the air going through the furnace. Listen to the furnace. If the fan is rattling, tighten up the fan belt. You can even learn a lot about your furnace by taking a close look at the flame. A flame that burns wildly wastes energy and soils the inside of the heat exchanger as well as the chimney. An oil furnace should have a sharp, well-defined flame that doesn't appear to float left and right and has no sign of smoke. A gas flame should not float about and it should not be yellow but more red with a clear, sharp blue center. Have a furnace specialist in to perform a check-up and a tune-up every year for an oil furnace, every two years for a gas furnace.