Where sloped ceilings intersect kneewalls creating side-attics, there can be tremendous leakage into the rafter bays. These areas, and other large holes can be blocked with fiberglass stuffed into plastic bags. Chimney penetrations are harder to seal because you can't use flammable materials. You need to cut metal flashing to construct a gasket of sorts to bridge the mandatory gap between the chimney and combustibles. Urethane caulks work well.
Recessed lights are a challenge.
IC-rated lights are safe to insulate against, but most insulation won't stop air leakage. Air-sealed recessed lights are harder to find, but they are what you should use, as they will also stop air leakage through the fixture. They should also be IC-rated. Make the box big enough that it will not create excessive heat build-up. Drywall scraps work well for this.