1. Try before you buy
There are many options if you are looking to buy a sleeping bag which best suits your needs, and therefore you can try out some of the many sleeping bags available on hiring basis, or buy a new one. Either way, the bag should be able to match up to your needs, and should have enough room in it, not only for you, but also for additional content in zips and other areas. To get the best idea, you must try out the bag at the store itself, also making sure that the bag is easily packable into the stuff sac. Visiting a reputable outdoor retailer will also help in getting you user based advice for the selection in the buying of sleeping bags
2. Intended use
You should know properly, the environment where the bag is going to be used so that you don't end up with a sleeping bag intended for summer season, when actually you needed a bag with characteristic properties for use in winter season. Select the bag that is most relevant to your intended use.
3. Insulation - natural or synthetic?
There are primarily 2 kinds of sleeping bags: bags made using natural (down) material, and bags made using synthetic materials.
For those interested in lightweight and longer lifetime, down offers quality comfort along with high insulation properties but once wet, looses all its insulation property, and takes a long time to dry.
On the other hand synthetic bags are much heavier compared to down bags, but with a considerable advantage that when wet, looses only half its insulation property and dries up very fast, ideal for wet/humid climates. But the lifetime of synthetic bags is very low and is therefore is available at considerably cheaper rates.
4. Season rating
getting the right season rating is very tricky and gets most people confused, but in general if you feel cold, you must go for a bag with a season rating higher. Also check for the bag to have a two-way zip system to allow maximum temperature regulation.
5. Fleece liners
the sleeping bag you select must apply for you over all general use, as if you are only going to be mountain climbing occasionally, its better to stay with a normal bag, and have an inexpensive fleece upgrade done later, rather than get a cold rated bag and feel hot otherwise.
6. Cotton / silk liner
investing in liners is a great plus for an outing as a simple cotton lining is very inexpensive, and also keeps dirt from accumulating, and soaks up sweat. Whilst other expensive and light materials provide the same effect but in addition dry up faster.
7. Outer material
make sure to note that the sleeping bag is windproof and water resistant as it needs to protect you from the elements of nature, and also in case of accidental spills, must not turn damp. DryLoft is a popular windproof bag. Pertex is an excellent lightweight bag, and also windproof, but not very water-resistant.
8. Cost
the down bags require a complex manufacturing process and hence are more expensive but in the long run are usually more durable and work out better than the other "budget" sleep bags available which are cheap but low in material quality and low manufacturing standards, don't stay long and what seems cheap may actually turn out more expensive.
9. Ground insulation
it should be noted before buying a sleeping bag that the most heat is lost during the night, by ground and not by the air, and hence if you are in search for the perfect bag, make sure it provides proper insulation else your money is wasted.