Caulking

• It isn't just the door or window itself that lets heat out, but the framing and other structural parts around it. Caulking every line between every part of the door and window will cut down considerably on air moving through the wall there. Run a thin bead of caulk tightly around the outside of the door or window frame where it meets the wall, as well as caulking the joints within trim and molding, and the line between the doorjamb or window opening and the inside of the frame.
  
  

Weatherstripping

• Adding weatherstripping to doors and windows helps create a better seal against the cold when they're closed. A strip of properly fitted weatherstripping along the bottom the door is likely to have the most dramatic impact (that's one of the key places where heat escapes), but weatherstripping around the window will probably make a noticeable difference as well.
  
  

Insulate the walls

• If you're in the process of new construction or a remodeling project that entails opening up the walls around the door or window, use it as as opportunity to fill all gaps near the door and window with fiberglass insulation. Fiberglass insulation can be ripped off in cotton-candy-like chunks, making it easy to get exactly how much you need to stuff into the small cavities around the door jamb and window framing. Fill the cavities with fiberglass but keep it relatively loose rather than packing it in, as the air that's trapped with the fibers of the insulation is part of what makes it work.