Increasing heating/cooling efficiency

[Stryder Honeymonkey <IH@xxxxxxxxxx>]

This is only partially related to automation, but please bear with
me...
I had a friend tell me he cut his heating bill in half by installing
filters on the back side of his return vents (as opposed to just
before the blower cabinet) and installing an automatic thermostat to
turn the heat down when no one is home.

The automatic thermostat is a no-brainer, but I can't even find
fliters designed to attach to the back of the return vents.  Is this
something anyone else is doing?  Can there be significant advantages
to this approach?  It seems to me that if this was a better mousetrap,
all forced-air systems would be designed that way.  What am I missing?

Any thoughts are appreciated.
Thanks!