from an architect who lives in the Adirondacks in upstate New York (seriously cold winters).
Energy measures in cost-effectiveness priority order:
Stop infiltration - cold air leaking into the house from holes to the outside, especially gaps around doors and windows. Most older houses are like sieves.
Install attic/ceiling/roof insulation - try for R-38 or better
If your heating system is over 10 years old it will be worth replacing with a newer more efficient unit. I wouldn't try to second guess whether it should be oil, gas or electric. Oil is up this year but the future could be different.
In your case it's probably worth replacing the single pane windows with efficient windows, rated U-35 or better. When they are installed it's VERY important that the installer caulk, stuff with insulation or otherwise completely seal any gaps or cracks around the new windows. Gaps around the windows could completely cancel out their benefit.
In New York we have a low cost residential energy audit program where an energy consultant comes out, does an evaluation and gives specific recommendations for your home. Other states may have something similar.
http://www.getenergysmart.org/BTW this site has a number of useful energy tips:
http://www.getenergysmart.org/WhereYouLive/EnergySmartWinter/EnergySmartWinter.asp#TipsVideoWe use a woodstove that provides almost all our heat. We also have an electric heated mattress pad (Sunbeam?). We turn it on before we get in bed and turn the thermostat down to 50F for the 8 hours or so we're sleeping. It has individual controls for each side of the bed. (Mine is on 1, my wife's is on 10!) We have a heavy down comforter on top.
We do a lot of the suggestions mentioned - dress in polar fleece and poly long underwear. I often wear a cashmere scarf in the house. We use electric heated throws when we're sitting around in the evening. We vent our dryer into the house in winter.
We're also considering a geothermal heat-pump system. We have a large pond out back we could use for a water source. I'd like to use it in conjunction with radiant heat tubing under the floors. I haven't figured out what the pay-back period would be but every time the price of a barrel of oil goes up, it gets shorter.