Place area rugs on floors with hardwood surfaces. This will keep the floors and your feet warmer throughout the day as you walk in this room.
Cover the space between the bottom of a door and the floor with a blanket. This will avoid drafts from entering the room, will maintain the heat that's inside the space and keep it from leaving.
Replace your furnace filter if you have one. The dirtier a furnace filter is, the harder the furnace must work to keep your home warm. The furnace is also less effective. By replacing the dirty filter, the furnace will heat at full capacity and will cost you a minimal amount to heat the home. By heating the home, the cold room in question will be heated as well.
Purchase a portable space heater if you do not want to use your furnace. This alternative is a cheap way to heat a room efficiently. While it can take an hour or more to successfully heat up the space heater, once it is heated up it will heat your room efficiently.