Energy improvements help more than your monthly utility bill. The environmental implications of making changes like these are significant as well.
Step 1: Find programs
In most cases you'll need to own the home that you're making the improvements to. If you're a renter consider talking to the property owner about the improvements. Perhaps you can negotiate a trade by doing some of the labor if they buy the materials. They can knock your rent down in exchange for the work, you get lower utility bills and when they advertise to the next tenant they can brag about those lower utility rates and the energy efficiency.
The Database of State Incentives for Renewables & Efficienc is a great place to start in the U.S. Canada has an energy efficiency program for those using the Canada Mortgage and Housing Corporation or check out the ecoENERGY retrofit program for making improvements to your home.
There is a wide variety of programs available. Everything from local utility companies offering rebates for the purchase of compact fluorescent light bulbs to federal tax credits for the purchase of a vehicle that uses alternative energy.
Once you have found a program on the DSIRE site then make sure the information is up to date by contacting the agency or checking their website.