Most cost effective thermostat setting: consistent temperature vs. lowest temperature possible
An Old Debate
There are is a very old debate about whether it's better to leave the thermostat at a constant temperature or to turn the temperature down when unoccupied and up when occupied.  I am in the heat-as-needed camp that believes in turning the heat up and down.
One Argument
From a theoretical perspective, I think about it this way:  Your furnace runs to replace the heat that escapes your house in cold weather.  The greater the difference between the outside temperature and the inside temperature, the faster you lose heat.  So with the temperature down when possible, the difference between outside and inside is less at those times, and you lose less heat over the course of the day.
There are those that say the furnace operates less efficiently this way.  There are furnaces that run in two modes, one less efficient and faster, another more efficient but slower.  I don't think this counters my argument.  If this is the case, the right thing to do is start the heat up earlier and run at the slower / more efficient rate, not abandon the idea of changing temperature during unoccupied periods.
Actual Results
From a practical perspective, I have installed many programmable thermostats to lower heat in homes so that the temperature goes down to 60 all day when everyone's at work and up to 70 when everyone's home, with consistent results - lower heating bills.  I don't have detailed data matching weather conditions to the bills but I am confident in the results - there are plenty of people with large commercial buildings that have maintenance staff that monitor these things very carefully, and looking at all the data have come to the same conclusion.

The Set Up: We have a natural gas forced air heating system, set up with two zones. Zone 1 is where we sleep. Zone 2 is the rest of the house. We live in New England, so we do have freezing temperatures in winter.
The Question: What would you suggest as our timed pre-sets for Zone 1 and Zone 2, especially in the winter?

I'd turn set both zones to 55-60 during the day, weekdays, if everyone's out at work or school.
I'd set the living area zone to 68 from an hour before people get home from work or school - maybe 4PM? to bedtime, say 10PM.
If the bedrooms are only occupied overnight, I'd set them to 68 from an hour before bedtime, whatever that is in your household, until 8AM or whenever everyone's up and out.  If there are kids using the bedrooms after school before bedtime, you might want them up to 68 from 4PM to 8AM.
Don't forget, it's no big deal to turn up the thermostats for a temporary override if you happen to be in a zone outside of the usual schedule, so it's no big deal if there's a holiday or something.
I'd definitely want thermostats that allow a different program on the weekend unless the household is occupied the same hours on weekends as it is during the week.
How Low Can You Go?
If you want to take this to the extreme you could turn the heat all the way down when unoccupied.  That would be a bit extreme for a house you come home to every day, but it's not uncommon for vacation homes.  Of course you'd want to heat to a level temperature where the pipes won't freeze, and the temperature at the thermostat is no doubt warmer than the temperature where pipes are in outside walls - so 32°F is not a safe setting.  The lowest safe thermostat setting would depend on how your plumbing runs, how your walls are insulated, and the outside temperature.  I know in my area many people set the thermostat in their vacation home to 40°F or so off season when they might only be occupied one weekend a month.  When there are extreme cold snaps, a few people will find they were a little too aggressive with the setting and wind up with burst pipes.
(Incidentally - if the outside temperature is above freezing, there's no way it can freeze your pipes.  At worst, it could get as cold inside the house as the lowest temperature outside, but under normal conditions, even with no heat, it won't get quite as cold inside as it gets outside.  There is always some insulation, some greenhouse effect, some appliances running inside, etc.)
Other Potential Problems
If your heat bills are higher than expected, there are lots of possibilities.  If your heat bill is higher than your neighbors with similar homes by 25%, it's not because they have better thermostat schedules than you.  There must be some other issue.  For example, a common culprit is a hot water leak.  Even a drip leak can drain a lot of hot water over the course of a month, and that's heat escaping your house - your water heater will have to run more to make it up.  If your water heater and furnace are both natural gas, you may assume the culprit is the furnace, but the real problem is money dripping down a drain all day.