Regularly changing your furnace's filters is one of the easiest things you can do to ensure it keeps running efficiently. Of course, should fully service your furnace at least once a year, but simply changing its filters can also go a long way. Filters need to be changed about once a month in the winter when furnaces usually get the most use. This will help your furnace use less power than it normally would.
It'll also help extend your furnace's lifespan, which is really important considering how expensive it can be to replace. Filters can be picked up at most hardware stores if you live in an area with cold winters.