Our current heating system is a 10 year old oil boiler for heat and hot water, and with oil above $3.50 per gallon we're on track to spend at least $4000 per year. For cooling, we use three window unit air conditioners and spend at least $1000 per year on the electrical just for those. So if we don't change anything, figure $5000 in annual heating, cooling, and hot water expenses and probably more if the cost of oil goes up.
The biggest thing we're looking at is a geothermal heat pump.
http://en.wikipedia.org/wiki/Geothermal_heat_pump
From what I'm reading online, and what three different contractors have said, it would cost us between $30,000 and $40,000 to remove our existing heat system, install air ducts all over the house, drill the wells, get the parts, and have it all set up. But once it's in place, you spend $1500 per year total on your heating, central air, and hot water. It's the most efficient home heating and cooling system you can get.
We could upgrade our oil boiler. The one we have works, but it's inefficient and I've had some pretty good sales pitches (??? maybe I'm just a sucker ???) that convince me a new one with an insulated separate water tank and a few other devices could save 30% on our heating costs. Now, 30% of our expenses saves us $1200 a year and that's nice. But we'd still be spending $3800 between heating and cooling, and that's still bad.
We could get a coal furnace. My parents still have one, and it's a real pain in the neck to maintain. But coal is still relatively cheap, so we could probably cut our fuel costs by more than half.
A friend of mine also told me about a partial heat pump system. You keep your existing oil system, and instead have a relatively low capacity heat pump generator (or whatever it's called) outside that's connected to two or three units inside the house. It feeds hot air in the winter or cool air in the summer through those units, and except when it's very hot or below 30 degrees out, your other air conditioners or furnace stay off.
I have no idea what we're going to do. If I get a big raise this year or change jobs, we may actually go for the geothermal heat pump. If not, I think I will probably just caulk, foam, and pink-panther insulate the bejeezus out of the house for the coming winter and then try to figure my next move for next summer.