We have lived in our house for four winters and used plastic on the windows the past three winters. We have the old wood frame sash windows.
The first year with nothing on the windows was ridiculous - you could actually feel the draft through the windows and our heating bill was through the roof.
The second year we used the plastic kit from Walmart. It was definitely an improvement, but the double-sided tape didn't stick well for us even though we properly prepped everything and we found we were always trying to fix them.
The third year we bought a roll of poly plastic from Home Depot, the stuff you would use as vapor barrier behind gyproc. We just cut it to the size of the windows and then used green painters tape to attach it to the windows. It definitely didn't look as nice (green tape, plastic isn't as clear to see through, and the plastic had a few brand stamps on it), bit it worked WAY better - no drafts, warmed house overall, and less heating cost. Plus, even though it was a bit more expensive, we just reused the same plastic sheets the next year and plan to continue reusing them. I just wrote which room each one is for in the very bottom corner.
That may not work for everyone, but I was certainly happier with a warmer house and lower heating bill!