An energy audit will look at simple things that can be improved easily like the type of light bulbs that you use or replacing dirty furnace filters. It will also look at bigger things like adding insulation to attics or completely replacing an outdated heating/cooling system.
The Daily Green offers instructions and a printable checklist for a DIY energy audit. If you don't want to spend money on a professional auditor, doing an energy audit yourself can find some of the places where you are losing energy efficiency.
For a more thorough audit you can hire a professional auditor. The US Department of Energy has some tips for bringing in a professional auditor on its website.