I am thinking for next winter about possibly using space heaters. Or even an electric fireplace which would be both pleasing to the eye and warm. I live in New England.
Make sure you have all new replacement widows and doors. You can also add more insulation in the attic, and have some blown into the walls. This will help tremendously. I have oil, and i used very little compared to most people I know. It is all about being energy efficient.
Don't forget the old standbys: insulation, air infiltration (does your local power company offer energy audits?), poor heat circulation within a room (are you heating the ceiling while your feet freeze?), more efficient windows and/or window films, insulated draperies or shutters closed at night, and the remarkably effective old camping standby that if your hands or feet are cold, put on a hat (up to 30% of body heat is lost through the head). The very cheapest energy is that which you do not use. One thing you do have to be careful of with a tighter and possibly cooler house: condensation on interior surfaces is a leading cause of mold. Air to air heat exchangers can increase air circulation while retaining heat.