Recessed lighting, also called can lights, are light fixtures mounted in the ceiling so that it is flush with the ceiling. These lights can be huge energy waster that provide a path for air movement outside the thermal envelope. This impacts energy usage to heat or cool your home and could potentially even cause a breeze in the room.
In this thermal image you can see air leaking into the house around the can light and even around the bulb. These leaks add up around the house and impact your home comfort.
Finding leaks like this are easy to do during an energy audit, but the fix is not as simple as you might think. Most can lights do not allow you to put insulation on top of them due to heat build up. They are also most often not air tight cans allowing air infiltration. So the fix could be replacement. You could also build a box above the fixture in the attic and then insulate around the box. You could condition your attic so that air leaking into your space is conditioned air. You could also caulk the housing tight to the drywall and accept the leaks around the bulb and the thermal bridge.
There are many places to make improvements to the thermal envelope of your home. If you improve each a little, you will make a big difference overall.