There are basically two fills for a backpacking bag: down and synthetics. The fill provides dead air space. Basically, the more dead air space, the warmer the bag. If a bag has 4 inches of loft, it will keep the sleeper warm to approximately 30 degrees F. It doesn"t matter if it is down, synthetic, or steel wool: it will keep one just as warm.
Synthetics designed for backpacking consist of crinkly fibers. The crinkles provide dead air space. Down contains, well, down. Duck down or "waterfowl" down is the cheapest. Goose down is the most expensive. Down is rated by "fill power". It takes one ounce of 800 fill down to fill an 800 CC space. 500 fill down fills a 500 cc space. Obviously the 800 fill provides more dead air space per ounce, so it is lighter. It is also more expensive.
Generally speaking, a down bag is half as heavy, twice as small, when stuffed, and twice as expensive than synthetics. Which is to say, for a bag which keeps the sleeper warm to approximately 30 degrees, a down bag would weigh 3 pounds, stuff down to the size of a two liter bottle, and cost $200. The synthetic bag would weigh 6 pounds, stuff down to the size of a gallon jug, and cost $100.
On the other hand, a synthetic bag's lifespan is considered to be three years before the crinkles in the fiber flatten out. A down bag's lifespan is closer to ten.
Women's bags are narrower in the shoulder and wide in the hips. They tend to be shorter and have more fill. Mostly men's bags are suitable for a woman, unless the woman is really short and just doesn't need to carry a full-size bag.
Bags are "rated" for certain temperatures, but this varies a lot. Women tend to sleep colder than men, Actually, one study found that men sleep just as cold, but they don't complain about it (!). It is about 10 degrees warmer to stay inside a tent. It is about 5 degrees warmer under a tree or a tarp.
A bag cut closely to the body is warmer than a wide bag: less air space to warm up.
Backpacking bags are made of nylon: not cotton. Cotton bags are for summer camps and sleepovers.
Old style backpacking books advise that one sleep in the nude. Probably because when hikers wore cotton, going to bed in damp cotton was not a good idea. In fact, it is still not a good idea, but most serious hikers eschew cotton hiking clothes (see clothes). Wearing dry clothing provides another layer of dead air space, ergo, it is warmer.
Use of a bag liner is always a good idea. This provides another layer for dead air space, and it keeps the bag clean. It is traumatic to wash a sleeping bag, but easy to wash a liner. Silk liners are luxurious, nylon liners cheap, cotton liners are heavy and absorb sweat.