Did you know a 1/8 inch gap around an exterior door is equivalent to a six inch square hole in the side of your house and causes a lot of energy loss? When put in those terms I realized I would not leave a gaping hole in the side of my house all winter so I'd better check for air leaks.
There are two ways to check your exterior doors:
Have someone stand on the other side of the door and shine a flashlight around the door's perimeter. If you can see light through the cracks, your door needs sealing.
Hold a piece of paper between the door and the frame and shut the door. If you can pull the paper out without tearing it, you should weather strip around the door.