It's something that really has to be planned for. This year, we shut off the attic, the basement and a spare bedroom. The living quarters stay warm but the unheated areas drop to around 50-60F. It makes doing the laundry or working in the workshop chilly, but it saves a lot of money only heating 1/3 of the house.
There are lots of psychological issues here, too. I've found that it's best to keep the bathroom the warmest, the bedroom the second warmest, the kitchen third and the living room fourth. That's based on the fact that even a dog doesn't like it's butt touching something cold - maybe a heated toilet seat means we could shave a few more $ off the heating bill. The bedroom can be kept pretty cold if the bed is kept warm with an electric blanket. Again, the "dog's butt" theory comes into play. No one likes to crawl into an icy bed!
There should be some pretty automatic ways of doing that, too. When the house senses you're approaching in your car it should begin the warmup. :-) While it's simple to zone resistance heating (what I'm doing now) the problem would be more complex with gas. As Mr. Burgess noted, to really warm up a place requires quite a BTU blast - one that would be unacceptable in normal use.
Amen!
-- Bobby G.