Temperature Ratings: The first thing you need to decide is what the lowest temperature is that you are likely to encounter during your trip(s). You will need to choose a bag that will perform to this temperature - and several degrees lower, just in case.
In the past, sleeping bags were given 'season' ratings - so a 1-season bag would be great for warm conditions, whereas a 4-season sleeping bag should be able to handle much colder conditions. However, a 'season' in Norway, could easily be different from a 'season' in the UK - and by a huge temperature margin. So in order to clear that up, the EN13537 standard, using high-tech sensors on heated mannequins, was introduced to give consumers a clearer picture of what their sleeping bag could handle.
This standard gives all sleeping bags temperature ratings:
Upper Limit: this is the temperature that a man can sleep at, in the particular sleeping bag, without using the hood and with the zippers open, without sweating profusely.
Lower Limit: as you might expect, this is the lower limit at which you might expect to be able to sleep comfortably for 8 hours without waking up. At either of these limits, you are probably not as comfortable as you would like to be, but should be able to get a good night's sleep.
Comfort Level: This is the temperature limit at which a woman should be able to sleep comfortably at.
Extreme Temperature: This is the temperature at which your sleeping bag will become an aide to survival, and prevent you from dying of hypothermia. It is also the minimum temperature at which a woman could remain in the bag for 6 hours without dying. You might still get frostbite and almost certainly would not get any sleep - this rating is for emergencies only.
However technical these ratings may be, you still need to bear in mind that, as humans, we are all different - and there are all sorts of factors that would affect how warm (or cold) you were in your sleeping bag at a certain temperature - including: age, gender, physical fitness and condition, body weight and build, when you last ate or drank, metabolism etc. Use the ratings as a reasonable guide, as well as your knowledge of yourself as a warm or a cold sleeper.
Down or Synthetic?: There are two main fillings in sleeping bags to be aware of - natural (ie goose or duck down) or synthetic. There are pros and cons for both, so you need to decide which filling fits you and your activities best.
Down traps air more efficiently, so will be warmer, producing smaller (to pack down), lighter weight bags. Down is more likely to be considered for winter and expedition use, where weight and space are at a premium. It also comes in different grades and qualities - the higher the percentage of (eider duck or goose) down stated on the bag, the purer the down will be - and ultimately the lower the weight and bulk (and more costly!) the bag will be. The best possible mix is 96/4 (96% down, 4% feathers), but more common is a 90/10 mix. You may get 70/30 in lower priced bags.
Fill power (for down) gives you a gauge of how efficient the down will be at trapping air - and therefore how warm it will keep you. 750 is generally the best quality available (the higher the number being better), although different countries use slightly different methods, so you may find an 800 fill power in the US. Fill weight then tells you how much down actually is in the bag - so the better the down quality, the less you will need to stay warm, and therefore a lower fill weight will be needed.
Synthetic bags are cheaper to produce than down, easier to care for, will retain warmth when they are wet, but are bulkier and heavier. However, with advances in technology, there are some synthetics now that are judged almost as efficient as down (with the added advantage of staying warm when wet).
Construction: The way the insulation is 'laid out' in the sleeping bag will have a bearing on your night of sleep (or lack of it!). The better constructed a sleeping bag is, the less likely you are to get cold spots due to insulation moving around inside the bag. Down bags have a system of internal baffles to trap the down where it is most needed. Trapezoidal baffles or shingle (think tiles overlapping on a roof) construction are the best, but more complex methods of construction. Box wall construction produces a light bag but does not hold down well in places, leading to the possibility of cold spots.
Slightly different for synthetic bags - the insulation is made from one or two layers of insulation. This is attached to the inner and outer materials of the bag - but check the stitching. If the bag is stitched right through (or quilted), you could get cold spots developing along the stitches. This can be avoided by a shingle construction (tiles, as above!)
Shell Fabrics: the fabric the sleeping bag uses on the outside, as well as the inside lining will tend to be nylon. It is durable, fast-drying, breathable and reasonably comfortable. The shell is not designed to be waterproof, but may have a water resistant coating. They will be more durable and of better quality as the price of the bag increases. Some bags may have polycotton inners - but whilst this may feel more comfortable against your skin, can be slow drying and start to feel clammy if not regularly washed.
Design Features: Other features to look out for on your sleeping bag include:
Shape - most modern sleeping bags are 'mummy' shaped, allowing for more room around the shoulders, and tapering off towards the feet. This allows the maximum amount of warmth to be trapped inside the bag. Rectangular sleeping bags give the user more room to move around in the night, but will not be nearly as thermally efficient.
Neck/ shoulder baffles - as sleeping bags work by trapping warm air next to the body, a neck or shoulder baffle helps to keep air inside the bag, around the chest.
Hood - you lose loads of heat out of the top of your head! So a hood is a great way of keeping the heat in, especially when it is really cold outside. You will want it to fit closely and neatly around your head, and adjusted easily with one hand.
Side Zips - these help enormously to get in and out of the bag, as well as adjusting the temperature control once you are snuggled down inside. The side zip should extend the whole length of the bag, and be two-way, so you can just open it at the bottom to cool off your feet, whilst keeping the rest of you toasty warm if necessary. If the zip only extends half way down the bag, consider when you are likely to be using it - it might save a bit of weight, but in mid summer could make the whole bag too hot to use if you cannot ventilate properly. Make sure there is a good baffle running the length of the zip to keep out draughts and cold spots. Some sleeping bag zips have glow-in-the-dark toggles, to help you find them in the dark.
Pocket - a useful tool for keeping a few essentials such as keys, mobile phone or valuables together.
Compression Bags - most sleeping bags come with compression bags, complete with straps so you can squash the bag smaller than it would normally go to fit it into your rucksack. However, never store your sleeping bag compressed inside this bag, as it will damage the insulation and reduce its efficiency. For long-term storage, the bag should be stored loosely.
Liners - You can add a bit of extra comfort and warmth with a sleeping bag liner. These can come in anything from silk to fleece fabrics, and will also extend the length of time you can use your sleeping bag before needing to wash it! Liners are much easier to wash than the whole sleeping bag.
Sleeping Mat - These are covered in the tents section, but do not forget that the best sleeping bag is nothing, if you have not insulated yourself from the cold of the ground beneath. Sleeping mats will also make you a lot more comfortable as well!
Weight and packed size: Don't just go for the lightest product that packs down the smallest. Consider all of the other factors listed above as well to select the bag that is right for you.
Size: Finally, don't forget to try the bag for size in the shop! It might be slightly embarrassing - but much better to put up with a few smiles from customers in the shops than be left with the prospect of many uncomfortable nights of (lack of) sleep because the bag isn't quite long (or wide) enough to fit you properly. Close-fitting bags will be the most efficient. Women specific bags tend to be narrower and shorter.