I just made another post on putting silicone in the spaces in the framing of your walls too small for insulation. Not an option if you do not want to tear sheet rock off of your house. One of the guys spraying the foam insulation suggested it. I think one could use silicone in any a number of places in a house.
I have a few spaces in the framing that I need to get resprayed. I'm a nightmare for a contractor, because I inspect everything regularly. However, if they miss anything, I'm filling it with Great Stuff. I don't think I'd want to self-help and fill all of my walls with it, but one might use it to address some key areas.
Before the house was gutted, I used the plastic wrap for a drafty sliding door. It helped, A LOT.
I also sealed off a drafty window using a crown duct roll. It basically thick aluminum foil with a sticking adhesive side and some insulating material inside. See:
http://www.knaufinsulation.co.uk/products/crown_rolls/crown_duct_roll.aspx I've at times been able to pick up styrofoam in decent quantities that was otehrwise going to be thrown away. If I was hard up in a cold winter, I could see making use of such sheets. It might look awful, but it could keep me warm.
Finally, part of my bug-in plan is to use tarps or plastic drop cloths to make rooms smaller in effect. If you go camping in the cold, the tent feels pretty warm in the moring, just from your own breath. Doing something like this to cut down on the size of some areas might be an option near the last resort.