When building specialists started measuring air leakage with a device called a blower door, they learned that caulking small cracks and weatherstripping doors and windows isn't as cost effective at reducing air leakage as sealing large hidden air leaks. The biggest air leaks are lurking in the attic, around the foundation, and where utilities pass through the building shell. When you have large hidden air leaks, sealing the little ones doesn't reduce your heating costs much.
Find a specialist in your region who performs energy audits and blower-door testing. The blower door test tells you whether or not air leakage is a problem in your home. If your energy audit shows that air leakage is an energy and comfort problem, go looking for large openings in your home's shell. You'll often find large air leaks under bathrooms and kitchens where pipes and wires are installed. Go into your attic, too, and note where pipes, wires, recessed light fixtures, and chimneys penetrate your ceiling. Follow the plumbing and wiring and you'll be on the right track.
When you find openings that allow air to leak into and out of your home, seal them with durable materials. Don't worry about cracks smaller than 1/4-inch. For cracks between 1/4-inch and 1-inch, use liquid foam that comes in a can, or stuff fiberglass tightly into the opening. For larger openings, use rigid foam board or plywood, and seal the edges with more liquid foam. If you seal around chimneys, be sure to use fireproof materials such as sheet metal. Every opening you seal will reduce the amount of heated air you lose next winter.
Gaps around chimneys are trickier to seal because the chimney is hot and shouldn't have combustible materials touching it. Ask a heating contractor to seal gaps around your chimney with sheet metal and high-temperature sealant. Another tricky problem is recessed light fixtures, which are ventilated by design and cause a large amount of air leakage in many modern homes. About the only safe way to seal these leaks is to build airtight boxes out of drywall or metal and cover the fixtures from above with these boxes. The airtight boxes should be large enough to allow 3 inches of clearance to the light fixture's sides and top. Your home will be a lot more comfortable and efficient when this uncontrolled air movement is reduced.
Soffits above kitchen cabinets, bathtubs, and shower stalls create some important air leaks. Two-part foam and rigid foam have been used to seal this kitchen soffit.
The Homeowners Handbook to Energy Efficiency, Residential Energy and Energy Auditor Field Guide contain more information on diagnosing and fixing air leaks.