I picked up an awesome winter coat off of Steepandcheap.com a few months ago, it's the last year's model of this coat:
Arc'teryx Fission SV Jacket - Women's from Backcountry.com It kept me very toasty all winter long.
What you want in a coat depends on what you're going to do with it. If you're going to be in a situation with a lot of wind and rain, you want a good shell (look for GoreTex or proprietary fabrics that are similar) and a coat that's fully seam taped. If you are likely to get wet, you would rather have synthetic fill than down; down is a bitch to get dry. If you're going to be active, you may want to go with a technical shell and layers underneath for wet days, and a softshell with layers for dry days. Layers is probably best for a camping situation too. Were you wearing long underwear? I love my Patagonia Capilene longjohns. They keep me toasty warm.
Good coats are pricey, but deals can be found, especially right now. Many retailers are closing out their winter stock.