Sometimes the weather is just cold. Like, cold-cold. You shouldn't stay inside, because the world in winter can be just as interesting as summer, but you need to stay warm, so a down jacket is the thing to have.
Great strides have been made in fabric and insulation technology, but there is still nothing that keeps you warm like the inner layer of feathers from geese and sometimes ducks, and while there is no all-around 'best' insulating material, for dry, cold conditions, down is hard to beat.
Dry conditions are the key to down's performance, however, because it saturates very quickly and loses all loft and insulating ability when wet. This can be a factor with sweat as well, so in addition to checking the weather and making sure your rain jacket will fit over your down comfortably, make sure to match the gear with the activity.
Down items are compared primarily by Fill Power, which is determined when one ounce of down is prepared and tested in specific conditions, and the volume it takes up is noted. 550 fill power lofts to 550 cubic inches, 800 takes up 800 cu in. The greater the fill power, the fewer ounces of down you need for suitable loft, but the price will go up for this higher quality material. As a general rule, more technical pieces will use better components all around, and more 'novelty' or fashion-oriented coats will use lower rated fill.
When shopping for specific conditions, its important to define your terms.
Parkas will be roomy and have a hem length to the fingertips, and are built with the inner and outer shells connected by lightweight mesh baffles that create chambers to hold the down and allow air movement but reduce insulation shift. This is by far the warmest construction.
Jackets will only reach to the waist and will have a conventional quilted construction, where the inner and outer linings are stitched together, which is simpler but has less down than baffled construction. Jackets like this are frequently combined with a waterproof-breathable shell jacket for veratility and protection.
Coats reach to the knee or below, are quilted, and sometimes feature a waterproof-breathable shell that increases heat retention and protects the down. Coats also have the benfit of protecting the legs and trapping heat from those large muscle groups.
Once you have narrowed your search by Fill Power and construction, the smaller features become more important. For most backcountry adventures, a thin shelled, packable down jacket is perfect for evenings in camp when the activity level and temperature are both getting lower. Durability isn't so important, and it packs into its own pocket. For around town in your long down coat, a 'separating' zipper with two sliders that can be opened from the bottom up means getting in and out of the car is much easier. For the truly arctic conditions you need that parka for, you'll be glad for the inside pockets sized for your water bottles and the down-filled hood with snow-filtering fur around the face.
Keeping it clean
Down is best when laundered, as dry cleaning chemicals can remove natural oils and cause early degradation of the down. Launder carefully with Down Wash or other simliar no-frills laundry soap and machine-dry on medium heat with three new tennis balls in a clean sock to aid in breaking up down clumps.