Having a central HVAC system means that you will have a system of ducts running through your home, delivering the air to all the areas of the building. These ducts play a vital role in the efficiency of your system, and if you end up having a lot of leaks, you will be paying a lot more than you should. The most common place for leaks to start is near the HVAC unit, since the pressure will be higher there, but they can occur basically anywhere along the way.
The problem with a leak is two-fold. First, you will lose the air that has been processed by your HVAC unit, possibly dumping it out into an area of your home that is not in use, and you will pick up dust and smells and carry them along into your living area.
To find leaks in your ducts, using thermal imaging can be a great tool, allowing you to find out where repairs are needed.