I get warm really easily when I hike, but I also get really chilled when I stop. So I tend to want a warmer bag than some people. Adding water bottles or extra layers doesn't solve that for me - a warmer bag is best. So knowing what you need helps. 

I have a couple of older REI Joule women's mummy bags. I like them a lot. I chose them because they are warm but quite lightweight, and weren't ultra expensive. I can pack those things into a tiny stuff sack if I really try. The downside to them is the mummy part. They (like most mummy bags) are kind of claustrophobic unless I'm really cold. 

Currently I'm considering getting a Nemo, especially one of the 15 degree rated women down bags. I tried one in the store the other day, and love it. It has so much more room (I'm also a side sleeper), but enough down that I think it will be warmer than my Joule bags. But it's almost a pound heavier - mostly in more down - which will only be worth it when it's colder. 

Don't forget that once you find a bag you like, you may be able to find it in the Used Gear or Outlet areas of REI!