It could be that your furnace is too small for the job or there's a problem with the airflow - getting warm air to the parts of the house where it's needed.
I spoke to Cheryl Reed at Angie's List about this.
"Before you leap to the conclusion that you've got a major project on your hands here, what you should do is take a look at your filters," she said. "Make sure they're not dirty and clogged and restricting air flow. Then run your furnace blower continuously to see if that will solve the problem."
If not, and the house is really uncomfortable, check the insulation. Do you have enough? If so, it may be time to find a good HVAC specialist to inspect your furnace and ductwork.
"So you need to take a really good look at whether you have the correct amount and sized and sealed ductwork that is going to help that air flow correctly," said Reed.
Another solution might be a zoned heating system to fill in the gaps.
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