OK, one more time (with feeling). Warm, light, cheap--- pick two. Not trying to be flip, but that's how it works and it gets said here over and over. Why? Because plenty of people ask, and because it's true.

So, one option, which I know some don't like, is to buy a used bag. I got a really nice Marmot winter bag for less than half retail. It is an older down bag, but I couldn't tell it from new.The owner even had the tag for it. I had it dry cleaned and voila! that new bag look and feel. Marmot, fyi, has great customer service. The rep I talked to even found an old catalog and sent me a scan of the pages for my bag. They will also refill and overstuff a bag very reasonably.

If you want to try the used route, look on Craigslist. I got mine there and think you'll get a better deal than on eBay. Too much questionable stuff there. If you spend time searching a lot of different cities, you should find something. Some people won't ship, but if you come across as honest and pay upfront with Paypal, others will. I found mine in New Mexico of all places and I'm in California.

fyi, the red parka in my picture? About half price on eBay, like new (and I mean half of $500, so we are talking about a considerable saving.)