Before the cold weather arrives, it's a good idea to have your furnace inspected and serviced by a licensed  gas fitter who has all the tools to actually check the furnace.
Cleaning allone doesn't do the job. Cleaning companies don't necessarily check blower amperage or heat exchangers.

Checking the filter to make sure it's clean should be done on a monthly bases during the heating season. Most no-heat calls service companies get are from people who haven't cleaned their furnace filter and the reduced airflow has lead to overheating and shut-down. 

If your furnace is old, now might be a good time to replace it. A furnace that's 20 to 25 years old generally runs at 55 to 60 per cent efficiency, newer furnaces can be up to 97 per cent efficient.