A quality sleeping bags will ensure you will stay cozy on the coldest nights. The following tips / advice will hopefully help you and make you aware of some of the nonces and guide you regardless if you already have a bag, planning to get one, or going to rent one.
The first thing you need to consider is where and when you will be using the bag. You don't want to be in middle of the desert during the summer boiling or be in Alaska freezing.
To prevent this, make sure you get a bag appropriate for the climate you will be in. Most bags come with a temperature degree rating letting you know the coldest the bag is designed to be used, for example 20 degrees. Personally, I find the ratings a bit off, kind of like a cars gas mileage. Thus I always make sure its warmer then I need, as I can always unzip it.
Sleeping bags come with different kinds of insulation such cotton, synthetics such as holofil, and natural such as duck or goose feathers. The type of insulation drastically effects how warm the bag will be, how heavy / bulky the bag is, etc.
The next thing you need to know is that sleeping bags come in different sizes. You need to know what size fits you best. Why? Think about how sleeping bags work, they are like a large insulated pillow case. Just like a jacket they use your own body heat and the insulation keeps that heat from escaping to quickly. Thus if its to small you can't get into it and if its to large the head escapes to easily.
Lastly consider other features, such as, the quality of the zipper, how well the seams are sewn, and is the fabric properly treated to be water resistant.
One note after you go on a trip don't store your sleeping bag in the stuff sack, as the insulation bunches and mattes up, resulting in the bag losing some of its ability to keep you warm. The best way to store it is hanging up in a closet.
A great way to get a feel for what sleeping bags, or any other piece of camping gear is best for you is to rent it. Outdoorgeeks rents high quality sleeping bags, that are affordable and very comfortable.