Build tight, Ventilate Right!
Curt is correct in that a pressurized house will push interior moisture into
your thermal envelope. In cold climates this will eventually condense,
causing mold, rot, etc.
Also "dumping" air in to the cold air return would create a location
of condensation. This may not rot anything structurally, but would create
a prime area to grow mold and the ducted systems would spread the mold spores
throughout your house. In cold climates you are asking the furnace to
work harder therefore reducing its efficiency.
There are forced air heating systems that combine the exchanger with the furnace.
We've seen some installation savings from using these.