Doors are large openings in the wall which fall somewhere between windows and walls as far as the heat losses go. You can lose as much heat through a door leading to an unheated garage or basement as you can through the front door.
It is now common to buy insulated metal or fiberglass doors that are much more energy efficient than the old wooden doors. But there is a financial catch here. From a strict cost effective point of view, it is rarely worth replacing a good wooden door with a new insulated door. The initial cost is very high, and the door is not a vary large part of the houses total heat loss. The exception would be replacing a wooden panel door which had lots of air leaks.
Sealing always works better than weather-stripping. Consider temporarily sealing off a door that you don't need during the winter (there's too much snow on the other side to open it anyway). Remember to leave the fire escape routes open!