You can get a down bag or one made from Hollofil or Quallofil. Some people are allergic to down, so be careful. You should make sure and check the temperature rating of the bag. Of course, the lower the rating, the warmer the bag. Think about how cold you get when you sleep and buy accordingly.
Prices can vary greatly from store to store, so shop around.
If you have to buy just one expensive thing, this is it, guys. You could use a pad made for the purpose, or foam padding, or a chaise lounge pad, or even a folded blanket or two. Last but not least, a few items to think about. Heat packs are a great, inexpensive asset during the cold months. I always have a few in my bag.