First things first: Turn your furnace on early in the season, before you need it, to be sure it works. It will be much easier to schedule any needed service before the temperatures dip and you're left waiting for an appointment.
Even if your furnace is in fine working order, or seems to be, it should be serviced annually. If you haven't had it inspected this year, set up an appointment for a furnace cleaning and tune-up.
Also remember to replace your furnace's air filter about every three months (at the start of each new season), but check them monthly — dirty filters mean your furnace has to work harder.