There are a lot of factors to consider when choosing a sleeping bag, but perhaps the most basic and important of these is whether to get a bag that uses down insulation or one that uses synthetic insulation. Each insulation type has its own set of advantages and disadvantages, so picking between the two requires you to consider the type of camping you'll be doing (i.e. backpacking vs. car camping) as well as the conditions you'll be facing while you're out there.
Down is the lightest, warmest, and most packable form of insulation. However, down loses some of its insulating properties when wet and tends to be more expensive than synthetic insulation.
Synthetic insulation can better handle wet conditions and usually has a lower price tag than down, but it's also bulkier and heavier. Take this into consideration when planning long trips.