Keeping you warm during the winter isn't the only reason to have your furnace system inspected, cleaned and serviced at this time of year. Having a professional inspect any oil- or gas-fueled appliances before heating season begins also reduces the chances of exposing your family to carbon monoxide: an odorless, colorless gas that can be deadly at high levels. This is especially true if your system isn't new.
In addition to having this annual inspection, it's just good practice to replace your furnace filter at least every three months. This helps keep your furnace running efficiently and dust from circulating through your house, so if you can't remember the last time you changed it, add it to the list of fall-cleaning to-dos.