Making My Home Better Insulated

If I could change one thing about my home, it would be to make it much better insulated. My house has a heater and air conditioner unit in the closet of my bedroom, and during the winter and summer time, it roars. It is often difficult to sleep. In addition, during the winter months it is freezing in my room and I have to run a space heater at night to keep from completely freezing. If I could make my house much better insulated, then the unit would not have to run as much, I would be more comfortable, and could get better sleep.