I just bought a new HVAC system and want to be sure I get all the cost savings from having upgraded to a 16 SEER system. I don't want to think about winter just yet, but recommend the following:
Check for air leaks in the house. Replace worn weather stripping, caulk, and replace old windows or install plastic window seal. You can attach draft stoppers to doors. It also makes sense to hire a contractor to perform a blower test to find leaks. If you are really serious about leaks, Install foam gaskets behind wall switch plates. Definitely close the fireplace damper when it is not in use.
Service your heating. Hire professionals to clean and check system. Replace air filters monthly, or less often if they are 3" or 4" wide. Old systems could run without much servicing, but the newer systems need more TLC to maintain. Don't skimp on servicing.
Insulate! Check to be sure you have adequate insulation in floors, walls, and ceilings.
Prepare outside. Now is a good time to trim trees, clean gutters, take down awnings, and install a chimney screen to block leaves. After your last lawn cutting, drain the gasoline from your lawn mowers.
Now you can light a fire, pour a glass of wine, and enjoy a good book! :)