Taping your furnace ducts is a no brainer. A roll of tape is a few bucks and you can loose a lot of heat, especially if your ducts run through unconditioned space. Also, if the ducts go through unconditioned space they really should be insulated. The shrink wrap idea would probably work okay if you got free materials. Duct insulation would work better though.
Check out
EcoRenovator's 60+ Home Energy Saving Tips You can do Right Now. Its the equivalent of the hypermiling tips and mods list here, but for your house.