#1. The primary home inefficiency and easiest most cost effective improvement is addressing air leakage.

An infiltration test should be performed to pinpoint the leakiest area of the leaks.
Safety testing should also be performed on any natural gas combustion equipment in the home to ensure that heating equipment has enough make-up air once the improvements are completed.
#2. The second cause for high utility bills is poor insulation.
Starting in the attic will be more cost effective than adding to existing wall structures.
#3. Finally, investing in high efficient equipment and duct sealing is generally considered the next important efficiency upgrade.
Please keep in mind that these are all generalities and each home is different. Investing in a professional energy audit does not cost it pays with sometimes immediate pay back results in as little as three years.