I had a fancy synthetic mummy bag, and it was warm. I lent it to my sister, and she lost it, and since then have been using an old military surplus wool blanket. It might not be great in the middle of winter, but for other parts of the year, it works very well. It doesn't compress nearly as much as down, but it isn't fragile either, and since it's plenty light, I just strap it on top of my rack, where the bulk doesn't matter.
If I ever do winter camping again, I'll consider buying a sleeping bag, but I may just bring more blankets, since they're much cheaper.