If you're going to spend most of the night in a sleeping bag, you might as well get a good one.
First consideration is size, it has to be light and small.
For insulators, look for either down, or a newer synthetic fill. Among the better synthetics are polarguard, holofill, dacron 2 and possibly the best is liteloft or primaloft. The second consideration is cut, mummy, barrel, or rectangular. Choose mummy if weight is critical, and you are comfortable in a more confined bag. Barrel sleeping bags offer a good compromise between space and weight.