A few years ago, I bought a old drafty house in the winter, with practically no insulation, and a lot of ill fitting doors, and lots of areas for air to flow. My walls are basically R5, windows whatever, R3. My first wet cold winter here I was miserable. The first summer I added a lot of fiberglass attic insulation (R30), heavy strategic insulated window coverings, some new windows, insulated the water heater with a fiberglass blanket, and literally hung wool blankets across open drafty doorways of low-traffic rooms. Also sealed any gaps in exterior doors with foam strips. Now on very cold nights I will only lose about 1/2 degree per hour; for instance when I turn the furnace down from 60 to the 40s at night, after a full 8 hours I'll have only lost about 4-8 degrees and wake up to about 56-52 degrees.
This year I'll be putting in more new windows and looking at expanding wall foam insulation. And possibly lay another layer of R19 in the attic to reach a R49 value if I can find a sale on insulation. That'll all be many thousands of dollars, but there's nice tax credits for these things. I'm also going to install a wood stove and my quote is about $6k. I'll get about 1/3rd back in tax credits.
Beyond that, the costs will begin to start outweighing the economic benefits.
