When insulating a building, besides the R-value of the insulation, and the windows and doors, what's the other thing that you have to be concerned about to keep the heat in?

Answer - Air infiltration. To help prevent it, windows and doors should be weatherstripped, and any gaps or cacks where air could get through should be sealed with caulk, foam, tape, etc.

Heat loss through air infiltration - pages 201 - 205