HVAC / Furnace Evaporator unit in attic leaking cold air

I have the same filter location as referenced by Steve Armstrong. There is no slot for the filter but it is just held in place over the return duct by a metal arm.

Here is the opening between the return and the blower: alt text http://serverintellect.jeffwids.com/public/20100802_762_furnace_filter.jpg

And here is the filter in place over that opening with the metal arm holding it in place: alt text http://serverintellect.jeffwids.com/public/20100802_762_furnace_filter_2.jpg

I would not have known a filter was supposed to go there if there hadn't been one there already.

I'm going to suspect poorly insulated ducts running in unconditioned space as a first guess. I don't know the layout of your system, but it's very common to take duct runs up into the attic, and even if they are wrapped with duct wrap (R3-5 typically) that's abysmal. If the ducts are poorly wrapped or not wrapped in spots, it gets worse. R-50+ is far more appropriate for hot air in a cold attic.

As for the furnace exhaust, it should be fairly warm - otherise you get to visit the series of questions that are on here about furnace exhaust (high-efficiency condensing) freezing up in low temperatures and shutting the furnace down.

Fundamentally, if your furnace is running 24/7 and the temperature continues to drop, it's undersized for the load - but one of the best ways to deal with that is to reduce its load by improving insulation and air-sealing (caulking things - the most boring, most bang-for-the-buck way to improve efficiency in most houses that have not already had that done). You could also add a second furnace to take some of the load, but then you'll be burning even more gas. You do not want a furnace that is much larger than your "design load" (ideally, your furnace runs 24/7 and maintains temperature on your coldest days) since an oversized furnace is inefficient .vs. one that's just the right size.