I've been actively backpacking for over 20 years, and it is my opinion that your selection of a sleeping bag is the most important one that you will make concerning your gear. There are numerous factors in deciding which one to buy. I will not be focusing on car camping sleeping bags since the option to bring blankets or leave is always an option.
There are usually several features that you will have to weigh when selecting your own sleeping bag.
DOWN VS SYNTHETIC:
I have always considered my sleeping bag my last line of defense against hypothermia. Hypothermia is when the body core is lower than the ideal range. The three biggest factors are moisture, wind, and air temperature. I have had small degrees of hypothermia in my wanders, and it can easily escalate into a life threatening situation if you do not take the proper steps to reverse it. Your sleeping bag can mitigate all three of these factors.
I prefer synthetic because it still insulates when it is wet. The tradeoff with synthetic is that it doesn't compress as much as down filled bags, but technological changes have made huge strides in recent years. I would consider carrying a down bag if I was absolutely certain that the bag would stay dry.
Also realize that your body will add moisture inside the sleeping bag, so allowing it to dry out is considered trail maintenance. This could be hard on very humid days.
I try to buy the best bag for the most extreme temperature ratings for your main area of backpacking. If in doubt, buy a lower rating than normal because you can always unzip it a little, if you get too hot.
In the south, I have always been comfortable in a 0 degree mummy bag. If I was making regular trips to the alpine regions of Colorado, then I would purchase a lower temperature rating sleeping bag.
SIZE AND WEIGHT:
The "Big Three" of backpacking are the three items that contribute the most weight to your backpack. These are the pack, tent, and sleeping bag. I learned a new saying early in my hobby, "Ounces make pounds". Needless to say, if you are of average height, don't buy the extra long sleeping bag. I've found that around six inches distance between your foot and the bottom of the bag leaves plenty of room to stash your clothes. TIP: Keeping your clothes in the bottom of the sleeping bag makes it much more pleasant to get dressed on those cold cold mornings.
This is an often overlooked factor in determining the sleeping bag that is right for you. Sleeping bags do take up a lot of real estate in your backpack.
I would only consider mummy bags.
*A well designed bag will have draft tubes behind the zippers. These draft tubes block air from
creeping inside the bag.
*A collar is another great design feature. The collar is situated under the chin and performs the same function as the draft tubes.
* The hood should have a drawstring opening so you can cinch it down around your face when it
gets cold. TIP: Larry Williams, my backpacking mentor, showed me how to stuff my sleeping bag's stuff sack with clothes to form a pillow.
SHELL AND LINING:
Water proof is not the same as water resistant. Keep this in mind when looking at sleeping bags.
I highly recommend visiting a local outdoors shop that has a knowledgeable staff, and have your list of priorities. For example: I would say that "I'm definitely looking a mummy bag with these features: synthetic, lightweight, and zero degrees rating. It would also be nice if it packed small (compressibility)."
The store clerk can then guide you to what they have in stock. Your job will be to examine each bag for their features and price. One last word, there are some great bags out there for reasonable prices. I am still using the same bag I purchased over 15 years ago at $200.00, and the same comparable bag can now be purchased for around $75.00.
When you wake up in the middle of the night or early morning, and have to urinate. Go! The amount of body heat to keep the urine warm is considerable, and you'll sleep much warmer with an empty bladder.
A quick way to warm up when you first get into the sleeping bag is to repeatedly relax and contract the muscles. I've found that I'm fairly comfortable in less than a minute.