Following this line of thought, at least equal attention needs to be paid to what you are sleeping on as to what you are sleeping in.

I recently aquired a RidgeRest for winter camping and now us that in conjunction with a ThermaRest-style inflatable open-cell foam mattress (an older version of the MEC Reactor 3.8). Prior to getting the RidgeRest, I'd put an Emergency Blanket, shiny side up, underneath my mattress. In both cases, you get some of your heat reflecting back to you, the RideRest just boosts the overall R rating of your mattress system.

Speaking of systems, I also use an overbag to boost the warmth of my sleeping bag. I have a -7 C (~20F) down mummy bag, but for winter add a synthetic overbag (MEC Penguin Overbag) which adds 5 to 10 degrees C to the system getting me down to around -12 to -17 (~ 10 to 1 F). The other advantage of the overbag is that it protects the down inner bag from condensation.

The first time I used this complete system I was actually a little too warm and had to unzip the overbag a bit with the overnight temperature reaching somewhere around -9 C.

Edited to add:

Actually, taking the sleep system one step further, another thing that helps is a solid-sided tent for winter camping. I have winter camped in mesh sided tents but found a bit of wind can really cut through you (unless your sleeping bag / overbag is windproof). If your tent can keep the wind from you, you'll stay warmer through the night.