My furnace makes a loud "thump" sound when its turning off and I've noticed that some of my vents around the house don't have air coming out, at least I can't feel it. Which isn't heating up my house very well. What is wrong? Who do I call to check it if needed? First time home owner with an infant so any advice is greatly appreciated

The "thump" is likely the sound of metal ducts relaxing after being pressurized by the fan. Have you checked/replaced the air filter?

I have replaced the filter. I recently had to replace the water heater. Could that have done something to my furnace?

I have replaced the filter. I recently replaced the water heater. Could that have done something to the furnace? I wonder why my house won't heat up as well anymore either :/ I had some people come over the summer and they replaced the thermostat with and electric one.

The water heater should have nothing to do with the furnace. What type of filter did you use?

I bought it at Ace hardware

It probably won't make any difference but try running the furnace a day or two without the filter. If it does make a difference, you probably need to go to a less restrictive filter.