In default mode, fan blades turn and push air downward, creating a downdraft and making a room feel substantially cooler. However, some fans come with an option to switch the blade function to updraft. This function reverses the pathway of airflow, creating an updraft that mixes the cooler air from the lower portion of a room with the warmer air above. The mixed air is then pushed outward and back down the walls, which makes a room feel warmer. If you have high ceilings in your home, the updraft and downdraft function will be most useful to you, allowing you to circulate air that gets trapped at the ceiling through the rest of your room. The benefit of this is that you can raise or lower your thermostat a few degrees, depending on the time of year, without noticing a difference in temperature.
You'll also only want to use your fan when you're in the room. As discussed earlier, your ceiling fan doesn't actually make a room cooler. The cooling effect is felt on your body, not in the actual temperature of the room, so leaving your fan on in an empty room is a sure way to miss out on the energy saving aspects of having a fan.