Applying nail-on weather stripping
If you have wood windows, and want to weather-strip with a material that's long lasting and has some archietctural character to boot, spend the extra dough for spring bronze weather stripping. The spring in these bronze strips compresses so that when the window closes, a weathertight seal is created. This type of weather stripping lasts longer than foam types, but the isntallation is a little more laborious.
Spring bronze atrips come in different widths, so make sure you measure your sashes and jambs before purchasing. Use tin snips to cut the strips to length. You'll secure them to all the moving or operational parts of the window. (If it's a double-hung window, you'll attach it around all four sides, and the top rail of the bottom sash.) Ideally the strips have small holes you'll nail into. If not, sinking the tiny heads on the tiny nails, or brads, is persnickety and time consuming.