you'll have to do a little bit of efficiency research to figure out if a window-mounted a/c unit might be cheaper than central air, or if a space heater might be more efficient than running the furnace.
i have a few ideas:
I've read before that you can close off the ducts close to the furnace, so that heat isn't even getting to the vents in each room. you should be able to do that for central air, too if it uses the same ducts. If you use a boiler, just shut off all the other rooms.
Definately seal off the room with a draft stopper, and even consider using foam tape to seal better around the door jam if there's any significant draft. if there's a draft around the windows, seal with expanding foam. Remove the trim, and peek around the edges of the window. if you don't see much insulation, fill it with foam. Also, you can use insulators for electrical outlets and switches on any outside walls. and you can cover the windows with plastic in the winter if they're old and leaky. Open any south-facing curtains in the winter to get a little solar heat, and keep them shut in the summer. (you could always cover them with tin foil to reflect the heat in summer... just kidding
) make sure you open the windows every once in a while to get some fresh air in the room.
a little extreme, but interesting, and sort of related: There are natives in far northern siberia that only heat with a single tea-light sized candle. They have a thick tent that they all live in, and then each person sleeps in a teeny, tiny tent inside that larger one. They light their tiny candle, and it produces enough heat, along with their body heat, to keep them warm all night.