The outer walls, ceiling, windows, doors and floor make up the "thermal envelope" of your house. Any gaps or holes in this envelope allow the conditioned or heated air inside your house to escape. When you add up all the small gaps, holes, cracks, and leaks, it's often the equivalent of leaving a couple of windows wide open-- all the time.
Finding your draft problems and solving them will pay off on your electricity bill. Winter is the best time to find leaks in your home because you can feel the cold air moving. But in any season, you can find problem areas by running a burning incense stick around windows and doors and watching the smoke.