Our house was built in 1940 and has the original windows. I'm sure they keep some air out, but I think when it's really windy and cold all they do is slow down the wind just a bit. The obvious solution is to have the windows replaced - and if you give me $15,000, I'll happily do that. In the meantime, we've got to do something, as our furnace can only get the house up to 61 or so.
What we've been working on today has already helped quite a bit. We've taken old towels and baby blankets, rolled them up into tight sausages, and stuffed them in the crack between the upper and lower pane. This pretty effectively blocks the whistling drafts and therefore keeps our heat in, instead of being sucked out as fast as the furnace pumps it out.
This solution is probably pretty obvious to some of you, but it works for me! Head over to Shannon's page at Rocks in my Dryer for more hints!