Down is an amazing insulator. You simply cannot get a warmer insulator that packs well, keeps the weight low, and has tremendous longevity. Whether used in outerwear, sleeping bags, or bedding, down is the best at keeping you warm.
When talking about down one of the most important factors to consider is fill power, and fill power is the most commonly misunderstood purchase decision factor. Usually the manufacturer will advertise a "fill power" of 650, 700, 850, etc. Fill power is the measurement of loft that down provides. So, the numbers that manufacturers use are a reference to the quality of the down insulation used.
Fill power is measured by volume; the amount of cubic inches one ounce of down occupies when compressed will determine the rating of the garment. One ounce of down is placed in a graduated cylinder, then a weighted disk is placed on top of the down. Once the disk settles, the compressed volume, measured in cubic inches, is the fill power. For example, one ounce of 850 fill power down will occupy 850 cubic inches when compressed.
Higher fill down is higher quality because it is loftier. A fill of 850 down will be warmer for its weight than 650 fill down. If two jackets have the same amount of down, but one has a higher fill power, such as 850 versus 650, the jacket with 850 fill down will be loftier, and thus warmer. That is why high-end light down jackets usually have higher fill power down, it allows the jacket to be very warm but very light. A common misconception is that a jacket with a high fill power number is, therefore, warmer than a jacket with a lower fill power, which comes down to the fill weight as well as the fill power. When comparing down jackets, the jacket with the most loft is going to be the warmest regardless of fill power.