Energy efficiency is a big deal with modern HVAC systems, for several good reasons.
First, the rising costs of energy is making more HVAC systems with high levels of energy efficiency a better bargain for many buyers, even though they tend to be more expensive units due to their improved engineering. The money saved on energy costs can often offset the high price of an efficient heat pump, furnace, or air conditioner in a few years instead of a few decades, making them more worthwhile than they used to be.
Second, environmental concerns make energy efficient HVAC systems more desirable for many. Whether your heating and cooling appliances are powered by oil, natural gas, or electricity, chances are there are significant amounts of fossil fuels being burned in order to keep your home comfortable and livable; upgrading to more energy efficient furnaces and air conditioning units is a good way to reduce your "carbon footprint."
It isn't just the engineering behind your HVAC system that will determine how much energy uses, of course. The amount you choose to use it is of primary importance, and there are also several circumstances beyond your control that will affect the efficiency of your heating and/or cooling system's efficiency, and it's important to understand these effects so you can adjust your HVAC approach accordingly.
One factor that has a major impact on your HVAC's efficiency is the weather. Not only do more extreme temperatures require your HVAC system to run harder for longer to keep your home how you like it, but humidity can play a big role in how efficiently your air conditioning and even your furnace operate.
Temperature and HVAC Efficiency
In truly extreme cases, outdoor temperature can actually have an impact on how efficiently your HVAC appliances operate, but for the most part outdoor temperature really only impacts how much you'll need to use your appliance in order to achieve the indoor temperature you'd like.
In other words, you tend to get the same amount of heat (or cooling) per each unit of energy no matter how cold (or hot) it is outside. You'll need more units of energy to heat a house when it's 20 degrees outside as opposed to when it's fifty, but the overall efficiency—the amount of heat you get for each unit of energy—remains the same. Similarly, you'll need more energy to keep your house cool when it's 105 degrees outside as opposed to 90 degrees, but assuming all else is equal your air conditioner will still produce the same amount of "coolness" per unit of energy expended.
So while it's true that air conditioners and furnaces use more energy when the temperature change needed is greater, that shouldn't be much of a surprise. It's like saying your car will need more gas to go 100 miles than it needs to go 50—absolutely true, but it doesn't say anything about your car's efficiency. It will still get the same miles-per-gallon at mile 50 as it gets at mile 100, as long as the road is the same.
When the road is headed uphill, though, your car burns through more gasoline per mile than it does on a level road. It's not a matter of distance, but of changing conditions, and those changing conditions have a real and direct impact on your car's efficiency.
The same can happen with your HVAC system.
Humidity and Air Conditioner/Heating System Efficiency
Air conditioners don't just cool your home; the way the operate means they naturally remove moisture from the air in your home while cooling it. Excess heat and moisture leaving your home cooler and drier than it would be without the AC running. Dry air also feels cooler than moist or more humid air, so air conditioners provide not only an actual temperature change but an overall cooler-feeling environment.
When it's not only hot but also humid, your air conditioner has to work harder to remove moisture from your home and dump it outside in the already-moist air. It required more energy to achieve an actual temperature change and even more than that to achieve the "feel" of a cooler home due to the humidity build-up. Like the car headed uphill, your air conditioning unit will need to burn through more energy just to achieve the same level of comfort—your AC becomes less efficient in more humid weather.
The opposite problem can actually occur with heating units in some climates. Cold air holds less moisture, and drier air is harder to heat—while also feeling less warm than more humid air at the same temperature. Just as you might "feel" too warm when humidity is too high at an otherwise comfortable temperature, you might "feel" too cold when humidity is too low, even if the temperature is in a normal range.
These factors mean that you're likely to see a higher energy bill for your heating in drier climates, and when the air is so cold that it holds very little moisture.
Dealing With Humidity and HVAC Efficiency
There isn't a whole lot you can do about the humidity or its impact on your HVAC's efficiency. Humidifiers and dehumidifiers are available, but their energy usage will likely offset any improvements in efficiency you achieve with your heating and/or cooling. Dehumidifiers work on principles similar to air conditioners, but they don't directly cool air as they remove moisture and are thus a poor choice for energy savings if cooler air is your goal; humidifiers can be more efficient to operate but again do not produce direct heat and are most effective on a room-by-room basis, making them ill-suited for home-wide heating.
Your best bet in terms of cost and environmental friendliness is getting the most energy efficient HVAC appliances available and ensuring they're of adequate size and capacity for your home and the region where you live. Keep them properly maintained and change your HVAC air filters regularly, and you'll have it as good as it gets—and given how efficient many of today's HVAC units can be, that's pretty good indeed!