Most people think "summer" when it comes to ceiling fans. However, using your ceiling fan properly during winter can reduce your heating bills. This is especially true in homes with cathedral and tray ceilings.
Todays ceiling fans are very efficient in moving air around. They are really meant to be used all year though in the dead of winter and the heat of summer. They key to using your ceiling fan properly is to adjust the rotation of the fan blades. Most ceiling blades allow this.
Durng the winter, you want the blades to rotate in such a manner to push air towards the ceiling. This will recirculate heated air that collects near the ceiling (remember, hot air rises) and push it down the walls.
The rules change somewhat for fans over eating spaces. This setting also will be comfortable and won't make your food cold either. Generally the lowest setting is the best so that you cut down on drafts.
During the summer, the reverse is true. That's because cold air is heavy and collects near the floor. By reversing the rotation of the blades and directing air toward the floor, you'll get that cool air off the ground and more evenly distributed in the room.
Those are the rules, but I have found that in some cases, rules should be broken. For example, the best setting in the summer when you're sleeping is the winter setting. That way you won't have a draft on you all night long.