I'm about to do some major renovations to my house - adding a second floor of about 900 sf - so this discussion is very timely!
Thermodynamics was a very long time ago, but I have to agree with the folks who say turning down the thermostat at night saves power (on most systems). Especially on cold winter nights when the delta is greater. (One system that probably wouldn't see savings is a heat pump with an auxiliary heating element when the element kicks in - it's way less efficient than the heat pump alone.)
I currently have a typical hvac setup for my neighborhood: forced air with a natural gas furnace and elec AC; gas also heats our water. My current (web enabled) programmable thermostat is set in winter to heat the house to 68 at wakeup, drop back during the day, up again in late afternoon and evening, and down to 60 at night. Our house is older, and loses heat all too quickly in the winter, even in the not-too-terrible climate of greater DC. It's hard to compare winters or factor the water out, but our gas usage did go down after adding the programmable thermostat about four years ago.
We're investigating geothermal as part of our renovation. The startup costs are high, but there are some nice tax credits and we intend to be here at least 15 more years. And I hate the noise of my AC's compressor in the summer!
-jk