Sometimes your heating system begins to show signs of wear-and-tear and is less energy efficient.  Those are the times when you being to:

HEAR STRANGE NOISES:
Loud banging, squealing, or excessive rattling noises are a sure sign that something is going wrong in your HVAC system.  

BLOWING COLD AIR:  
Constant powering on and off of the blower sometimes indicates a major problem but then a capacitor or contactor can be a simple easy repair.

HIGH UTILITY BILLS:  
Have you ever had your monthly bills spike without any resonable explanation?  Older or improperly maintenaced furnace requires more energy to heat your home.  
And as strange as it may seem - YES your HVAC can heat and cool at the same time thus really sending your utility bill over the edge.

POOR AIR QUALITY:  
An older furnace is ill-equipped to properly humidify your home resulting in drier, dustier air.  Thus the occupants of the home may experience more sinus, itchy eyes and dry skin.

YELLOW FLAME INSTEAD OF BLUE FLAME:  
On a gas furnace, you may have noticed the color of the burner flame on your HVAC furnace.  
If the color is yellow instead of the normal blue color, it may be a sign of a carbon monoxide leak.  

PLEASE HAVE YOU SYSTEM CHECKED IMMEDIATELY - - CARBON MONOXIDE KILLS ! ! !