Today is January 15, 2009 at 6:50 pm.  In most of New Jersey it is currently twenty degrees and tonight will get down to the single diggets.  According to the wheather man this temperature trend will last for the next fews day.  If there is ever a good reason to know that your furnace is working in top condition i think that 0-10 degrees is the best you can get.  When it is thirty degrees out side, your house can stay around 45-50 degrees with out heat for a few days.  That will keep pipes from freezing and causing serious damage to your home and possetions.  BUT... when it is below twenty degrees and your house is with out heat for enough time it can cause damage that you will never take your furnace for granted again.  
    Now there are certain things that you as a home owner can do to prevent having this happen to you.  One thing is if your furnace or thermostat is twenty years old i strongly reccommend changing them out.  As a heating and air conditioning contractor i see people in some pretty bad situations.  Not only do they not have no heat or air conditioning but when it does get fixed the cost is over whelming.  Now to have a yearly service contract would cost about $100 per system.  That would assure you minnimal surprises with your equipment and if something did go wrong atleast you have a mechanic that you know ready to come to your house and take care of things.  Another way to go is to have a heating and air conditioning company come every few years to do a heat start up and evaluate your furnace.  
    If you are a "handy man" home owner then some things that you can do are:
change your air filter
change your humidifier pad
check callibration on your thermostat
if you have an electronic air cleaner make sure it is plugged in and that the power light is on
if you have a 90% furnace or a humidifier poor water in you condensate pump to see if the water runs through properly
    If you have an oil furnace proper, yearly maintenance is very important:  For most home owners doing any thing on their oil furnace is out of the question.  Besides the smell of the oil unless you know what you are doing even a simple task could take all day.  On the other hand if you want to dive in and get dirty then a good place to start would be the oil filter. As long as you have a good valve this should be no problem.  Changing other parts like the ignitors or the burnur nozzel could get a little trickier.  Anything more then that i reccommend calling a qualified heating contractor.  
    Allways Remember That When Working With Gas, Oil Or Electric There Is A Risk Factor