A fire in an open hearth is only 10 percent efficient at best, which means that 90 percent of the heat energy you've paid for goes up in smoke. Heated room air is drafted up the chimney as well, so your main heating system actually works harder to keep the house warm. Glass fireplace doors raise the efficiency somewhat but only to about 20 percent.
While wood burning is becoming less viable in heavily populated areas, if it's still your fuel of choice you should invest in an EPA-rated wood stove with a catalytic combustor. And only burn seasoned wood or wood that's been split and stacked in the sun for about 6 months. Green wood makes for a smoky fire that pollutes more and coats your chimney with resins, which can lead to chimney fires.
If you're tired of shoveling ashes and hauling wood, a gas-burning fireplace insert is a more efficient option that also saves space. A built-in fan distributes heat into the room and a thermostat allows you to set a target temperature. Some models even have a timer so a roaring fire welcomes you when you get up in the morning. One gas fireplace insert can heat a whole small house in all but the coldest weather, which can save you a lot if your main heating system is oil-fired or electric.