It's not that high-efficiency, well-insulated dwellings aren't vital to both saving money and being kind to the Earth. But if you're trying to stay warm, layering up with long underwear — specifically the newer, synthetic kind — is mathematically more efficient than messing with the heat or walls.
Low-Tech Magazine offers a fantastically geeky read on the thermal efficiency of personal insulation versus household heat. You'll learn about "clo units", the measure of insulation needed to keep a resting person comfortable at 21C. You'll also see that wearing a form-fitting layer of long undies can keep you much warmer, due to the heat generated by thin air layers, movement and other thermodynamics best explained by the author:
According to the US Air Force Survival Book, one layer of long underwear (long pants + long-sleeved t-shirt) equals a clo-value of 0.6, while two layers of long underwear add a clo-value of 1.5. In other words, the clo-value more than doubles by using only two layers. Combine this outfit with a typical business suit (or a similar, more comfortable clothing ensemble), and thermal insulation rises to 2.5 clo, enough to keep a couch potato indefinitely comfortable at a temperature of only 12.7° Celcius (55°F) - far below the common indoor temperatures of today. This clothing ensemble could yield a reduction in energy use for space heating of up to 80 percent.
Old-school, natural-ingredient long underwear is also pretty handy, the article points out, but the newer, UnderArmor-style synthetics seem to do a better job at trapping heat. If you've got an under-clothing recommendation, or can't believe the numbers you're seeing, let's hear about it in the comments.