Are the Dampers Open?
Some ductwork contains dampers to adjust airflow. Look for handles and markings on the ductwork such as 'summer' and 'winter.' Set the damper handle parallel to the duct line for maximum airflow.
Is the Furnace Filter Filthy?
This is the most common cause of heating (and cooling) troubles. Change the filter and the problem usually disappears.
Are the Radiators Clear?
Whether you have electric or hydronic baseboard units or old-fashioned radiators, they won't throw maximum heat unless air can flow through them. If you move the bed against a baseboard unit or toss a blanket across a radiator, the room might get chilly.