First, we can't say enough good things about the Energy Star program and what a great job it's done of educating consumers about the value of high efficiency systems and appliances. That's been a huge step in the right direction.
BUT, the missing piece is, your systems don't interact independently - from each other, or from the shell of the home itself. You almost need to picture your home as a living, breathing thing. It needs to take air in, and it needs to exchange air out; that air needs to circulate; and any deficiencies in one system or area will impact the whole thing.
The number one reason high efficiency heating and air conditioning systems don't perform well is that there are typically leaks somewhere in the home. THE AVERAGE HOME HAS THE EQUIVALENT OF A BASKETBALL SIZED HOLE IN IT, when you add up all the typical air leaks. So, if we're talking about a furnace or boiler, all that nice toasty air it worked to produce is escaping - which means you're still chilly. And, the furnace is working longer and harder than it should - which means your bills are still high.
High efficiency systems are fantastic, but before you make the investment, you gotta find and seal those air leaks!