To the OP, as others have said, the gas used during the "catch-up" period would not be enough to offset the savings of having the thermostat turned down for a period of time. This is largely due to the relatively high discharge temperature of a gas furnace, and its ability to quickly increase space temperature.
HOWEVER, in a full electric home, with a heat pump and emergency heat (a heating coil/toaster), this catch-up period would use a comparatively larger amount of energy to heat. This is because electric heat produces a much lower discharge temperature, and it must run for longer to increase space temperature. I still don't believe this excess energy use would offset the savings of heating to a lower temperature all day/overnight, but it would surely come closer with an electric only system.
I work for a building controls company, and the majority of my work is in hvac. We don't do residential, but the principles are the same.
My dad just put one of these Honeywell units in, along with a new gas furnace:
http://www.forwardthinking.honeywell.com/related_links/thermostats/prestige/new/prestige_YTH9321R5061_lores.jpg
http://yourhome.honeywell.com/home/Products/Thermostats/7-Day-Programmable/Prestige.htm
Pretty much shits on the apple device imho. It includes portable thermostat/remote that not only adjusts temp remotely, but can take over priority to control temp in the specific space of the remote. It also includes a wireless outdoor temp/humidity sensor that reports to the main and remote thermostats.