What zack is describing is a two stage furnace, which is not exactly the same as generic two stage heat. A thermostat for two stage heat will normally bring on a second stage of heating if the setpoint is not reached after a certain time, or sometimes if the setpoint has been raised, such that the regular heating mode might take too much time (recevery from setback is a common example). A common use for two stage thermostats is when you have a heat pump with resistance heat strips for supplemental heat. When the temp outside is too cold for the heatpump to keep up, the thermostat adds the more-expensive-to-run heat strips to provide additionnal heat.
A two stage furnace is a furthur refinement of a two stage system whereby a single heat source can run at different capacities to improve effeciency. An ideal heating system would run continuously and produce only enough heat to keep up with the heat loss of the home. Frequent heating cycles (called short cycling) is ineffecient. Many times, such systems use a specific type of thermostat to detect small changes in heat load and then modulate the furnace to compensate. You can now get gas furnaces that can vary their heat output almost continuously to achieve the highest effeciency. They operate like a servo system, getting error input from the thermostat to control their output.