[Jack]

Petey's covered things pretty well. The one addition I would make is this: in addition to a warm sleeping bag, you need an insulating pad underneath you to sleep comfortably. There are several options: closed cell foam pads, which are warm but not thick enough to give you much padding from the ground. Open cell foam pads, which can be comfortable (get one 3 inches thick), but are bulky, and can also get wet.
Probably the best choice is one of the pads from a company called Thermarest. Those are kind of a cross between an air mattress and a foam pad, they insulate well to keep you warm, are comfortable, and pack up to be not too bulky.