OK, Paul Wheaton simply doesn't know what he's talking about:
"I think that this does produce some savings, but not as much as you might think. If you set your thermostat to a constant 70, the heater works a little at a time throughout the day. If you drop it to 50 at night or in the middle of the day, the heater stops working, but then when the time comes to warm the house again, the heater has to work at full power for a long time to get the temp back up - thus losing a lot of your savings."
WRONG WRONG WRONG WRONG WRONG WRONG WRONG WRONG WRONG
Heat losses are driven by two factors:
1. The temperature differential between the hot and cold sides.
2. The thermal conductivity (or exchange) between the hot and cold sides.
That's straight out of Newton's Law of Cooling / Fourier's Law:
http://en.wikipedia.org/wiki/Convective_heat_transfer#Newton...
If you're running heat constantly, you're maintaining a constant flow of heat from your interior to the exterior. That is, you're maintaining a high heat exchange rate to the exterior, and you're constantly wasting a large portion of heat.
If you're heating only while you need a warm interior, then as the interior temperature falls, the energy flux to the exterior decreases. You're no longer pumping heat into the external environment.
Yes, you'll run your furnace/heating system continuously for a while in raising the interior temperature, but that is largely adding heat to the interior space, not to the exterior.
The net is expending less energy.
Your most efficient strategy is to turn interior heat down to the minimum essential level (ultimately: enough to keep pipes from freezing), or the minimum level the thermostat allows (often ~50F in the US). My own practice is generally to turn any heating system off entirely at night.
From a moisture management perspective, you also win as cold air has a lower absolute humidity, that is, the quantity of water it can hold is lower. Heating cold humid air reduces the relative humidity, allowing walls and surfaces to dry out.
The overnight heat loss is also a very clear sign that Paul Wheaton is dealing with an exceptionally poorly insulated structure. And a very poor grasp of thermodynamics.
The same principle holds for AC as well, though here you want to increase the temperature setting at which the AC comes on, or disable AC entirely while you're out of the home.
A better way of thinking of this is to minimize the energy input (heating or cooling) when it's not needed.
See:
http://www.uswitch.com/energy-saving/guides/heating-on-all-t...
http://www.straightdope.com/columns/read/2970/does-turning-d...
http://energy.gov/energysaver/articles/thermostats