First thing, park in the sun.
Beyond this, we're assuming a gasoline or diesel engine, not a hybrid or electric vehicle (most of those have electric heaters and will start blowing hot pretty quickly anyway).
If, like me, you leave home for work before the winter sun is up, or must park under cover but without heated space, your engine will warm faster with the heater off (it acts like a radiator, but without benefit of a thermostat to control coolant flow through its core), and under load. Don't turn on the air conditioning, but do turn on lights and (electric) rear defogger if available. Don't run the heater fan, and set the temperature control to cold (you want to close off coolant flow through the heater core).
Now, move off as soon as the oil pressure is normal (warning light out or gauge in range). Watch the engine temperature gauge, and turn on the heat or front defogger (as you choose or need) as soon as the temperature is off the peg, or at least two minutes after startup if you don't have a gauge.
These steps will give you the fastest engine warm up, hence soonest useful heat, and avoid wasting fuel at idle (when you're getting zero miles per gallon), as well as limiting engine wear (a cold engine doesn't wear faster under load than at idle, but warms faster under load). In that light, if you have to deice the windshield and windows before departure, scrape before starting the engine. The exercise can warm you, a little, and if you're properly dressed the weather won't chill you or your hands.
Once you're on your way, drive with appropriate caution; watch out for ice, especially on bridges and overpasses.