The average house looses a good amount of heat through it's windows. This heat loss can be reduced through simple measures such as fitting double or triple glazing, or even simply by hanging heavy insulating curtains.
Installing double glazing can cut heat loss through windows by half. If you can't afford to replace all the windows, why not choose the rooms that cost you the most to heat.
Ideally double glazing should have wide cavities between the two glass panes. 16mm is the optimum distance. If the cavity being filled with an inert gas, usually argon, the window will be even more efficient.
Low-emissivity coatings being added to the glass can also stop heat escaping.
Designing out cold bridges, such as aluminium spacers, surrounding the glazed units also increase the efficiency of the window.
Large efficient windows can be angled to avoid summer heat and to maximise the small amount of winter energy from the sun - a principle is known as passive solar heating. See Angled Windows House for an example of this.