The energy efficiency of your furnace is dependent on its Annual Fuel Utilization Efficiency (AFUE), which basically tells you how much of your fuel is used for heating and how much is lost due to combustion (usually out of your vents).
Schedule a professional tune-up every fall (before you first turn on your heating system). They will be able to test your heat exchanger for cracks, clean your pilot light, inspect the ventilation system, and much more.
If your gas valve is working fine, but the furnace isn't turning on, check to make sure your pilot light is on. For instructions on relighting the pilot light, refer to your manufacturer instructions or contact a professional.
Heat Moves to Heat Exchanger