Energy Myth: Turning down the thermostat doesn't save energy because it takes as much energy as was saved to reheat the house.
Fact: Heat escapes faster when there is a big difference between the inside and outside temperatures. When you turn down the thermostat the indoor temperature is closer to the outdoor temperature, therefore you lose less heat, the furnace runs less and you save a lot of energy.
Home Series Booklet: Home Heating (PDF)