The simple answer is storm windows, air-sealing (weather-stripping), and drapes. Installing these energy saving materials rather than replacing your single-pane windows is acost effective way to improve the efficiency of your home.

The more complicated answer? Few people understand that the difference in r-value (how much heat can get through... the higher the number, the better the insulation) between a single pane and double pane window is only r-1. A single pane window is about r-1 and a double pane window is about r-2. "That's a 100% improvement in efficiency", you say. Sure it is. But you can take your window to r-2 by applying the above mentioned measures and use the money saved on not buying double pane windows to take a vacation in Costa Rica.

Too many people buy replacement windows to improve energy efficiency of their home. The problem is the windows are so expensive it takes upwards of 20 years to pay for them with the savings in energy, which is relatively modest given the small r-value improvement possible.

Even triple paned windows that reach r-4 and r-5 are essentially holes to the outside when compared to a r-13 or r-19 wall.

So, besides storm windows and air sealing, you've got draped. The most effective way to mitigate nighttime thermal losses is with the use of drapes or better yet thermal drapes.

Or you could go way overboard. I know a guy that cut rigid foam board to the exact size of all his windows and goes around and covers them up at night. That is probably the MOST effective way. Not terribly practical though.

Updated July 13, 2010

Installing storm windows on a single pane window will make noticeable improvements. Also make sure the lock works properly to seal the window as much as possible.

Depending on the window type, double hung, casement, you may also be able to install weather strips that will help to reduce the air infiltration.

Storm windows are inexpensive and help keep heat in.

If the windows are drafty there are weatherization materials to seal out the cold air or block the draft from coming in. Heat loss through air leaks in the home may be a bigger saving and increase in comfort if corrected often at low expense.