Get yourself a wood-burning stove or at least a fireplace insert. I have the latter, and unless it gets below 10 degrees outside, the furnace never comes on when I have the wood going. Even when it is that cold, the furnace runs much less often than it does without the wood going.

Also helps that I get free wood from the in-laws (just have to cut, haul and split it), but it's good exercise (and we all know I could use some more of that to help my boatspeed)...

Mike