If you live in an older home with older windows, you can stretch a heavy-duty, clear plastic sheet on a frame or tape clear plastic film to the inside of your window frames during the cold winter months. Make sure the plastic is sealed tightly to the frame to help reduce infiltration. You could also try installing tight-fitting, insulating drapes or shades on windows that feel drafty after weatherizing. Here is a link to find out about other window treatments and coverings that can improve energy efficiency.
If you can't afford to replace all of the windows in your home with energy-efficient double-paned glass, here is some advice on how to weather-strip your existing windows. Weather-stripping can accomplish a great deal in terms of keeping cold air out and warm air in. This is an easy, inexpensive project that will take about an hour to complete and result in a 10% energy savings in your home.
Finally, you might want to try installing storm windows on your home's existing windows. This is a more expensive project (average cost of around $100 per window) but the energy savings are greater - 12% to 33% on average.