And a great way is with your window treatments! (You knew that was coming, didn't you?)
If you are looking for insulation and being more energy-efficient, you want to consider treatments that will cover your window. This would be operational drapes or a roman shade type that covers all the glass. Of course a combination of the two would be most beneficial and provide you a little more flexibility.
There are some amazing linings out there that will make those big holes in your house (your windows) much less air-penetrable. Plus, they not only provide insulation, they greatly improve the look of your window treatments. And they will add years to the life of your beautiful window treatments. And best of all, they don't add a lot to the price. .
First and most basic is sateen lining. Unless your treatment is a sheer, sateen lining is a must. It protects your beautiful face fabric from the effects of the sun and presents a uniform neutral look to the world on the outside. Usually ivory or white, it also comes in colors like khaki and driftwood. This is your basic lining, which provides some insulation and protection from the sun, but little in the way of light blocking.
Next up the ladder is dim-out and black-out lining. These also protect your face fabric and provided some insulation. Blackout provided light blockage which is important in bedrooms and rooms with a lot of strong sun exposure which can fade your furniture and wood floors. These linings are now made much more supple and luxurious than that rubbery stuff you find in hotels.
Now we move up to the fun stuff! Interlining is a flannel layer of lining placed between your face fabric and your sateen lining. So now we are to three layers of fabric, providing great insulation and sun-protection. The extra benefit is the way interlining makes your window treatments look. The folds in your drapes and roman shades become plump and rich, and not so wimpy. You can feel the weight in your hand. As you can imagine, your windows are really getting efficient with all this fabric wrapped around them. Since interlining does not really block sunlight, combining interlining with black-out lining will give you gorgeous rich window treatments that give you superior light-blockage.
There is a newer product available now called napped sateen. This is your sateen lining with one side brushed to give it a flannel-y heft. It's better than straight sateen, and less expensive than adding the separate layer of interlining, but obviously not as plush. It's a nice happy medium when budgets are tight.
And at the top of the ladder? English bump and French Blackout lining. English bump is a middle layer like interlining, but it is a good 1/4" thick. You are literally wrapping your windows in a beautiful blanket. The lush look bump provides is absolutely gorgeous and very noticeable. French Blackout is 4 layers: your face fabric, then a layer of white interlining, then a layer of black sateen, and finally a layer of neutral sateen on the back. Again, gorgeous, luscious folds and draping, but French Blackout also give you superior light blockage. These two methods are considered high-end and will add more to your bottom line, but you are really getting a lot of bang for your buck.
Just think how excited you'll be to get your heating and air conditioning bills!