Rarely. My dorm actually had a rule where we weren't allowed to open our windows when it was below freezing because it supposedly raised heating costs (which really sucked for people on the top floors, because those floors were stuffy and hot while the ground floor was barely comfortable).

I occasionally open mine in winter but usually just for things like letting out smoke if I accidentally let something burn in the kitchen, or cooling down the room if it gets too hot, and not very often otherwise; I guess, like madripoor-rose said, I think of it as something that would be inefficient because of letting heat out. It's so interesting to me that it's such a common thing there!