After time passes some of the functional parts of your furnace can start to get build up on them, and begin to over work. This over time can even cause the furnace to malfunction, which can be very unfortunate on a zero degree day. The general area should be checked out, and filter changed.
The inside of the furnace should be inspected as well as main components like the gas control, flame sensor, indoor blower, heat exchanger (on older furnaces), electronic control board, pressure switches, igniter and inducer fan all need to be inspected and maintained on an annual basis. If your furnace is not maintained it can lead to premature failure of costly parts.