I have now received the first empirical evidence that replacing your old windows & doors can have an impact on your utility bill.
Our house is one of the standard, ranch-style houses that were popular in the SF Bay Area in the late 1960s. It had the original, single-pane aluminum windows, and hollow-core doors.
We replaced the exterior doors a couple of years ago, but we just completed last month the installation of new, double-pane windows throughout the house. We also replaced the large sliding glass doors in our living room.
It’s a large expense, and while you are comforted somewhat that the money will come back to you when you sell the house, that seems like it will be very hard to prove. As a result, I’m really glad to see that our heating bill (our kerosene heater is gas-driven) for the first cold month of the year is actually quite a bit lower than last year.
Of course, the low gas bill could also be the result of us doing less cooking at home around the birth of my second son on October 30th. I’ll keep monitoring, but hopefully, the energy savings promised around this type of improvement turn out to be accurate.
Psychohistory 
I hope you’re right, since our windows are on order. But I believe natural gas prices have also fallen since last year (we see a significant decrease even without the new windows) so the thing to look at would be the actual units consumed.
We have double-paned windows throughout our house, except for one window in an outside door from the master bedroom, and a tiny bathroom window. That corner of the house in the bedroom is consistently the coldest spot anywhere in the house, including the breakfast nook, which has all windows. Combine that with the foot-and-a-half of insulation in the ceiling (just a theory on thickness, but I think I’m approximately right), and I swear we’ve had the heater running a total of less than an hour so far this winter. It’s AMAZING what a difference all that stuff makes.
While we don’t have year-to-year comparisons on this house, I do have a comparison from our old place in Woodside, which was about the same size, but had poor insulation and single-paned windows. Our gas, electric, and water usage have all dropped by 50% or more. Modern drip watering systems, energy-efficient appliances, and weatherproofing work wonders. And we bought a water heater blanket last weekend, too!