Does anyone winterize their house?

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What I mean by that is does anyone put plastic on the windows or that tape stuff etc? I was just wondering if anyone had some good ideas that wouldn't cost too much. I covered the windows upstairs & have noticed a slight differenc when I go up there when the heat is off, but not a major difference & it seems to take the same amount of time to heat up. My house is so old that when you stand in front of the windows on a windy day your hair blows in the breeze!! The windows aren't that old, but whoever put them in (before we moved here) didn't do a very good job. So anyone have any ideas? Would love to hear them! It'd be nice to cut down on heating costs this winter.