You need to know your needs to pick the right material.
Going "on the land" for an extended period in possible bad weather, or a weekender?
Nothing is as warm and light and packable as down. But if it gets wet it doesn't warm you and is hell to dry in the field.
Look for the loft as to quality, 800+ being excellent, but pricy.
Big Feathered Friends fan but North face is excellent. Both pricey,
I have a less lofty marmot that packs tiny and is great for light conditions
You'd be amazed how small you can pack 100% down, and how they loft right up to wear.
Synthetic materials like primaloft ( my favourite) will keep you warm when wet but aren't as warm or quite as packable.
I had a piece made for me by Integral Designs in Alberta when that was cheap and it probably saved my life a couple of times kayaking in the arctic. It's great stuff and doesn't smell like some others.
Wool is old school but heavy, hard to dry - but it won't melt or go up in second like most other materials. It will dry by the fire. Most of this modern stuff melts or burns.
Fur and skins are probably out of the question but they wore them for a reason. ( Some still do)
For the shell you need to balance waterproofness and breathability ie goretex, dry loft, wool vs nylon etc. Cotton a terrible idea unless it's a ventile or some exceptional bush poplin like willis & geiger that is almost ventile or "mercurized". You don't want to be wet in cotton from sweat or otherwise.
If packability isn't the issue, a vintage Willis & Geiger flying jacket can be had on eBay or repros from Cockpit, of various kinds.
I have used some of the space age astronaut heat retaining gel stuff, and it doesn't do it for me. Some poeple love that stuff but it just doesn't feel warm to me when it's nasty cold.
After that, fit and features, like do you want ventilation, longer in the back for sitting, pockets, hoods, etc.
Many brands are good, and they don't have to be fancy names. Cabelas on sale. Some great military surplus.
It's tough to shop now when you can't just go and check them out.
Great options out there.