I've owned a Hennessy Hammock for about 5 or 6 years, and I've slept through heavy rain and windstorms, and temperatures down to a few degrees below freezing.
The product is very comfortable to sleep in; in fact, it's the most comfortable sleep system I've used in the outdoors. It is definitely not for the claustrophobic, however.
I generally find it unusable during periods of extended rain - not because it isn't dry, but simply because there's precious little room for wet boots, overcoats, etc. The best solution is to carry a large tarp, which of course defeats the purpose of carrying a small, lightweight shelter!
Like a bivy, it's difficult to dress/undress in the hammock. This may not be a problem in wilderness areas and when the weather's not bad, but creates difficulty in bad weather or when there are other people around.
As to the issue of cold weather, there seem to be some misconceptions. My high school physics, as I seem to recall, taught that conductive heat transfer is far more efficient than convective. For any given amount of under-body insulation, I've found that I sleep warmer in the hammock (convective losses) than on the ground (conductive losses.) In other words, in my experience the idea that you'll be colder hanging in the air than being on the ground is incorrect.
For cold weather, I've settled on a system using a Big Agnes sleeping bag, which has no bottom insulation. Their theory is that compressing down or fiber beneath the sleeper is about as good as having no insulation, so their bags substitute a sleeve into which you fit a sleeping pad. This has advantages; the sides of the bag overhang the pad reducing cold flow through that junction, and the pad stays integrated with the bag at all times. I was initially skeptical, but over the years have become a believer.
I've found that the Big Agnes bag combined with a solid corrugated-type foam pad (Z-Rest, RidgeRest, etc.) and the popular DIY pad (mylar bubble windshield reflector covered with fleece) makes for a very warm and very compact sleep system. I've also used a Thermarest pad topped with the DIY pad, and it may or may not be a bit warmer; I haven't been able to do a direct A-B comparison in sufficiently cold weather to be sure. As it stands, I trust the RidgeRest/DIY combination more.
I hope this sheds a bit more light on the Hennessy Hammock. Of course, I am in no way affiliated with the company other than as a satisfied customer.
-=[ Grant ]=-