It's important to have your gas furnace checked for a possible leak of carbon monoxide, which is an odorless, colorless gas. Having carbon monoxide and radon detectors are important for everyone's safety. You can purchase these detectors at most hardware and big box, do-it-yourself stores.
Call a furnace professional for a checkup
No doubt about it, your best bet is to call heating, ventilation, air conditioning, and refrigeration (HVACR) professional and have them come out and inspect your furnace. During a regular maintenance inspection, the technician will clean the furnace, change the filter, check for leaks and unhealthy gases, and ensure that everything is operational. You also can (and should if you can afford it) pay them to clean the furnace ducts.
Do-it-yourself furnace tasks
Here are a few other things that you can do yourself:-
Change the furnace filters regularly. Some suggest every three months; others suggest monthly. At least take a look at the filter after 30 days of operation. You'll be able to tell if it needs to be changed. If your filter still looks pretty good, you can put off changing it.
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Stock up on filters during the warmer months. You often can find a bargain on furnace filters and other winter items during those hot summer months.
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Remove any items you have stored near the furnace, particularly anything that is likely to catch fire. Also remove any household items that are suddenly sitting on top of or in front of your air ducts and return vents.
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If you have a gas furnace, contact your gas company and have them fill'er up. Gas is certainly much cheaper to buy during the summer than in the middle of a January cold spell.
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If you have hot-water radiator(s), bleed the valves. Open the valves slightly and close them again when water starts to appear.