despite the necro, this is still valid:
I've got to dig it up again, but I remember reading a study on the difference between letting your heat (or AC) run all day vs. right when you come home. Their conclusion was it was better to save energy during the day, and run it longer right when you get home after some real world tests.
The theory behind why IIRC is because your house is obviously not perfectly insulated, so it's going to be losing heat during the day. Heat transfer is greater when your delta T is greater (difference in temperature), so the bigger the difference between the outside temperature and the temperature you're heating your house to, the larger your heat transfer rate. So by keeping your house warmer for longer, you're wasting more heat via natural heat transfer than you would if you kept it cooler when you aren't there.