Then it's unexotic stuff like making sure doors have decent seals on them. Double glazing is pricey and some way down the list.
Retrofitting better insulation to your walls if you don't have cavities is very expensive (you'll have to redecorate the house, too) but effective.
Good triple-glazed windows are expensive, but there are some vinyl triple systems that are reasonably priced. Anderson and Pella both have triple glazed options, for example.
There is also a relatively inexpensive (compared to imported European windows) option for tilt-turn windows now available: http://logicwd.com/
I haven't installed them myself, but I've bought other systems from that vendor and have been happy.
Internationally speaking, the UK is very far behind when it comes to insulation. Single glazed windows are still standard in many houses. Energy prices are cheap compared to the rest of the continent and costs are still one of the highest.
The gaskets maintain an airspace between the glass panes, which is responsible for most of the thermal performance. On new windows this can even be filled with a transparent gas (like argon or krypton) to increase performance.