Have your heating system cleaned and tuned by a qualified contractor. A pre-season tune-up and filter change is a good investment. It reduces the chances of breakdowns in the middle of winter, improves safety, and pays for itself through more energy efficient operation.
If you have a room air conditioner, remove it for the winter or seal it up and insulate it. Water heater insulation jackets can work well for covering and insulating the air conditioner.