Although not as easy to install as some weather stripping, bronze, aluminum, or stainless steel spring metal makes the best seal for windows. Designed to fit inside window channels or frames, its out-of-harm's-way location helps it survive years of openings and closings and renders the strips all but invisible.
Spring metal comes in kit form -- with enough strips and nails to treat a typical window. Or, you can buy it by the running foot in coil form. Get the type with predrilled holes.
The drawings on the next page show how to fit spring metal around double-hung and casement sashes, but you can easily adapt these techniques to suit other window types. Be sure the metal compresses when the window shuts.