Furnaces are in the 90+% efficiency range. About the only way to improve might be a heat pump.
In house, you could make sure the ducts were sealed and insulated.
Ron

You are in a climate that heat pumps have been viable in, and are becoming more so. My current system ~15 Y.O.,would have a hard time heating the house below 30F ambients. If you read over on the Heating&AC forum you'll note units are making great inroads here.
I was a heat pump sceptic, designed the house to burn wood. But we wanted central air and the HP was part and parcel. This past winter I burned wood maybe three weeks, heat pump otherwise. An auxiliary heat source tides over the cold spells. Lots of options here. A dual fuel unit would let you buy the current cheapest fuel.
There may be units that qualify for federal credits. If you do pursue the pump, accessory hot water heating is possible, cutting your electric bill.