Going as cheap as you can on a sleeping bag isn't usually the best way to go, particularly when you are looking at a cold weather bag. I didn't think you could find a 0oF (-20oC) bag for $40 and personally I would probably pass up on something that cheap out of mistrust.
Others have mentioned it, but quality of material (durability and fit) comes at a price. A good bag will have better quality zippers that don't snag as much, incorporates flaps over the zipper that provides as much insulation at the zipper than the other parts of the bag, have moderate protection by the shell for moisture and good quality, long wearing insulative materials. They are quilited throughout the bag to keep the insulative material from packing or bunching up. Cheap bags will be missing most or all of these features.
I've personally found that the thermal rating on cheap, no-name manufactures, doesn't ever live up to its actual rating. I never tried this with a bag rated as low as -20oC, but it was certainly the case for 0oC bags and higher temperatue rated ones that I've used. Also the insulation on these cheap bags tends to get destroyed pretty quickly during prolonged compaction - good bags will simply last longer.
Regarding insulation material, for a -20oC bag, down bags (750 fill-power goose) are at the highest end. They are the lightest bag per temperature rating and pack smaller than synthetic bags. These often run in the $350-$400 range. Occasionally you will see synthetics in this temperature range and in good bags, that include hyperloft of primloft insulation. The synthetics are bulkier and heavier to pack. They are also cheaper and can range in the mark of $150-$250 for a good brand name.
One advantage of the synthetics over down, is they they tend to work better when they get wet, and they don't tend to hold onto condensate quite as markedly as does down. Unless you use a vapor barrier, your down fill bag will pick up quite a bit of weight each night, as perspiration from your body condenses in the outer layers of the bag near the cooler outer surface. The vapor barrier is a plastic liner that prevents this from happening. It is usually recommeded to be used even with synthetic bags when sleeping outdoors in below zero conditions for multiple days.
Finally, one more option available to you at this temperature range is to consider a -12 oC bag and a separate overbag that when used in conjunction with the above bag will decrease the temp rating to -22oC. This will run you about the same price as a synthetic -20oC bag. It is a little bulker and heavier than the single synthetic bag, but then you can use this combination throughout the season. Use the -12oC + overbag in really cold weather, the -12oC bag by itself in spring and fall and the overbag alone in the heat of the summer.
Lastly - don't forget about a good sleeping mat to preserve the insulative value of your bag. I recommend a regular thermarest and I definitely prefer full length rather than the shorty length.
Hope this helps!