This is a touchy and somewhat subjective subject. It should not be, but is. People spend big $$ to replace their windows and are often convinced to do so by good sales techniques rather than through rational analysis. They also want to believe that the investment was worthwhile, when often it is not (financially at least).
As has been pointed out, windows in and of themselves, are difficult to construct in a manner that will allow them to function and appear the way people want them to without creating a ready path for heat to escape your home. However, if you have older, true divided light windows with wood frames, you can make them seal better and perform nearly as well as a newer double glazed window. Spring bronze weather stripping, neoprene bulb seals, proper glazing and good fit will reduce infiltration losses to those of newer windows, and sometimes better. This reduction in infiltration will account for 90% of the "feels warmer" effect as well as the real reduction in heat loss. Yes, inert gases can reduce transmission/radiant losses compared to regular air filled double pane windows, but not to an extent equal to the cost for the feature. Furthermore, thermopane seals fail over time, allowing not only the escape of the "argon", but also the introduction of moisture. Moisture will not only ruin the appearance of the window, but will dramatically increase the rate of conductive losses. I have 23 double glazed windows in my home that were installed c.1978-1980. 19 of them have failed seals with moisture in between the glazing.
We live in an early 19th century farm house. All of our windows are being replaced (by me) with salvaged 19th century wood sashes with modern seals in new frames, with properly fitting outer storm windows. Upper sashes are fixed and sealed to the jambs. The larger low-exchange air space between the sash and storm will have as much or more insulative value than a 5mm air gap in a double glazed window. I will have less than $150 per window opening invested in my windows, and they will look better and perform as well as any modern window.
I am not saying replacement windows are wrong for everyone, but I submit that more replacements are being bought than are necessarily justified. $30 worth of weather stripping is a lot cheaper than $250 for a new window that will fail in 20 years.
Just my $.045 (adjusted for rising steel and oil prices . . . ;-) )