If you leave the heating on the room thermostat will be used to keep the temperature constant, they generally let the temperature go slightly above and slightly below the set temperature to prevent the boiler cycling on and off too often. However, starting from cold, your boiler will work harder over a shorter period to get the house to your set temperature. If your home is modern and well insulated then leaving it on will be better as there wont be much heat loss.
A poorly insulated house will leak heat, as anyone with a traditional conservatory will agree. The moment that the heating is turned off rooms become cold. We actually account for this on sizing radiators, the less insulated a house is the radiator size increases compared to a well insulated property. If you're out most of the day set the timer to come on for a few hours in the morning and then back on for the evening till bed time. This will make heating your house a lot cheaper.
The more insulated your house is the lower your energy bills will be.