In my opinion, the most energy efficient way is to keep a decent minimum level of heating, not to turn it off completely, when leaving the house. In this way you avoid a peak of consumption when you are home, in order to re-heat again the space (including walls). This also improves your life quality, as you don't enter a cold room when you come back at home.
In the same time, this operating mode does not put pressure on the heating system, as it runs smoothly, not with ups and downs.