Most programmable thermostats are either digital, electromechanical, or some mixture of the two. Digital thermostats offer the most features in terms of multiple setback settings, overrides, and adjustments for daylight savings time, but may be difficult for some people to program. Electromechanical systems often involve pegs or sliding bars and are relatively simple to program.
When programming your thermostat, consider when you normally go to sleep and wake up. If you prefer to sleep at a cooler temperature during the winter, you might want to start the temperature setback a bit ahead of the time you actually go to bed. Also consider the schedules of everyone in the household. If there is a time during the day when the house is unoccupied for four hours or more, it makes sense to adjust the temperature during those periods.