That depends on the kind of curtains you have and the kind of window you have. For example if you have a plain window with a single pane of glass, just installing thermal curtains can give you as much as a 25 to 30% increase in thermal efficiency. If on the other hand you have a double glazed window, the thermal efficiency will not improve all that much because the window is 
already doing most of the work for you.
This is best explained by two values that are commonly used when talking about thermal efficiency, the R value and the U value. The R value denotes the resistance to heat that the material has, while the U value denotes how much heat is absorbed by a material. This means that a higher R value is better than a lower one. The U value is not of much concern to us because if a material is going to absorb heat, it will also radiate it back into the room which is something that you do not want.
If you have an ordinary window, putting in a simple, cheap thermal curtain will increase the R value by 1.2 or 1.3. This may not seem like a big increase to you, but a 30% increase in thermal efficiency means a big difference in the amount of sunlight and heat entering through the window.
If you want more efficiency, you can go with better quality thermal curtains. These have a thermal lining for curtains at the back and insulated fronts. They will give you a much better R value.
Everything depends on the cost factor. Obviously if you had the money you will be going in for the double glazed glass for your windows. Why, you could even put in solar windows that have solar cells integrated within the windows so that you get both sunlight as well as being able to generate electricity for your use.
Thermal draperies are a much cheaper option, and the best part is that they work. Of course you need to ensure that the curtains are kept as tight against the windows as possible, because for every little bit of sunlight that escapes through, your thermal efficiency will reduce. This is however easily done using magnetic strips, or decorative lower bars for the curtains.