have an energy audit done! they should look at your power bills, check your insulation, measure duct flow, do infrared pictures, run a blower door test. sometimes subsidized by state or power company. winter is best time to have one done. they will tell be able to tell you where to put your money to make your home more comfortable and energy efficient.
you might have bad duct connections and are blowing conditioning air into wall cavities or perhaps your duct is running in unconditioned space and you are losing heat.