Before replacing a thermostat, is it enough to unplug the furnace?
So long as whatever you do de-energizes the wiring you're working on, you should be okay. 

There's really just two concerns:

Shock hazard

You obviously don't want to get shocked/electrocuted, and only working on wires that are not energized is a good way to ensure this. This is less of a concern on the thermostat end, where you're only dealing with 24VAC, but there is 120V on the furnace control board.

Shorting out equipment

The other concern is when dealing with the wiring you can easily cause connections between stripped ends, which could do anything from simply turning the fan/furnace/AC on, to rapidly cycling equipment (which could damage it), to actually shorting something out -- such as the transformer itself -- and causing it to release the magic smoke, which renders it useless.