Staying warm in the winter is an art, and clothes makers have created winter coats that provide warmth without bulk to satisfy customers. When selecting a coat, think about your environmental needs--will you be exercising, skiing or simply walking down the block? Will it be raining, snowing or dry? Clothes makers have created the warmest winter coats to satisfy lots of different needs.
Buy down if you are looking only for warmth, as it is greatly regarded as the warmest material for a winter coat. Buy any down coat if you want to stay dry or choose a down puffer with a waterproof shell for rain and snow. Make sure you get a high "fill power" (ie: 550 fill or more) as this signals the down is higher quality and, therefore, much warmer.
Buy a wool coat such as a pea coat if you want superior insulation and warmth even when wet. Wool coats were designed a long time ago for use in the navy because of this fact. As well as a formal look, wool coats are usually absent from the marshmallow appearance most down coats have. They are also built for lasting quality, making them good investments. They don't wear, and they are harder to rip, tear, or scratch then most coats. Down coats are usually very easy to rip as they just have a thin layer covering the delicate down. Buy boiled wool if you are concerned about itching or scratchiness, because boiled wool is smooth, though boiled wool may cost you more. If the coat has a different fabric on the outside, like a wind breaking shell, look for wool on the inside for warmth.
Remember to think about the outer layer of fabric on the coat. Pick a hard shell layer like Gortex for rain, as its impermeable, stopping the rain, while making sure your internal heat doesn't escape too fast, but also making sure it breathes so you don't sweat. Pick a soft shell layer for exercising, as it is the best at being breathable. For dry weather and open places (ie: not bushwhacking through forest), a down coat, with no another layer on the outside, is lightweight and very warm.
A good thing is making sure your coat is windproof for more warmth. Check the seams to make sure they are sealed to stop drafts from sneaking in through loose areas. Pick a coat with wind flaps to close off exposed skin in extreme weather, and flaps around the front as zippers don't stop wind from breaching into your coat.
Buying a good winter coat or jacket to meet your needs is essential to enjoying the winter and all the fun it can provide.