Two types are generally available. One kind uses hollow fill, man-made fiber, the other (and more expensive) is filled with down. Down is very light and gives much better insulation – provided it stays dry. If it gets wet it loses all of its insulating properties and is very difficult to dry out. For conditions that are likely to be wet the man-made fiber will be the better choice. Avoid getting your sleeping bag wet, however, as sleep will be seriously affected.
Excellent bivouac bags made of breathable material are also available that will keep you dry in place of a tent, but in the long term you cannot beat a tent which can also be used for cooking and communal activities. Keep your sleeping bag inside the bivy sack and stow it inside a compression sack to make it as small as possible. Keep the bag clean and use a insulated mat or poncho to lie on.