What are some DIY ways to increase the efficiency of a forced air heating system?
Please answer in Community wiki fashion: 1 tip per answer.
As @Jay Bazuzi pointed out, tips can also include ways to increase heat retention or other ways to save money on heating bills.
Look for cold spots in your home. A room that tends to stay cold, despite your attempts to keep it warm is a signal of trouble. A nice tool for all such problems is the hand-held thermal sensor you can now buy, like this Black and Decker Thermal leak detector. Just aim it at a spot on a wall, ceiling, etc., and click the button. It gives you the temperature. Now move the sensing spot around, and look for cold spots. This can tell you if you have missing insulation in a wall cavity, or a spot of cold air entry into your home. Use this to decide to add weather stripping to a window or door for example, or to inject foam insulation into a deficient wall cavity, or simply to help you balance warm air flow through your heating system.
Not directly related to efficiency of the furnace, but...
Get a programmable thermostat if you don't already have one.
They are cheap, easy to install, and setting it up to turn down the heat a few degrees when you aren't home can make them easily pay for themselves in just a few months.
Ensure all your ducts are properly sealed - you can use aluminium foil tape to wrap the joints and transitions. Don't use "duct tape" - it will get brittle and become worthless pretty quickly, and despite the name is not actually designed for duct work.
Insulate all exposed supply ducting - there are many DIY products for insulating your ductwork.
Ensure your return registers are clean so your furnace gets the proper amount of airflow, and make sure there is nothing blocking the combustion air to the furnace. And of course, make sure you have a clean furnace filter.
The #1 easiest way - remember to change your filter.
Install dampers to direct air flow to the rooms that need it most. This will help if you find yourself raising the thermostat to heat a bedroom, addition, basement, etc.
Neither DIY nor guaranteed to increase efficiency, but worth repeating:
Get your furnace cleaned and inspected by a professional.
They can tune your system and make sure you are burning at peak efficiency.
Seal electrical boxes (usually light fixtures) in the attic, and use spray-foam on electrical conduit entrance holes.
Next time you repaint, pull off the baseboards on outer walls and use spray foam to seal the wall-floor gap.
If you are willing to spend a little money, get an energy audit. It will tell you where you home's biggest losses are, and point out many other places that could use a little work.