Down is the lightest and most compressible delivering the best warmth.
Down is the undercoating of water fowl. It provides the greatest amount of dead air space of any insulation material for its weight. A down pod consists of light, fluffy filaments that grow from one quill or point. These filaments intertwine and mesh, forming air pockets which trap air. One ounce of goose down contains 23,000 pods and two million filaments.
It comes in different Fills such as 750 or 850ranging from 450 to 900, also be mindful that manufacturers may also only put 70% down adnand 30% other insulation...The best are usually 90/10.
They also come with different weights for example the Patagonia Nano Puff is probably one of the lightest down jackets, then you get into something like a Mountain Hardwear Nilas, and then last but not least an expedition weight parka like the North Face Himalayan Parka.
Here is a Buying Guide that may help you with your decision.