There are loads of manufacturers out there and probably even more reviews.
Many people will have more than one bag but you only want one to start with. If you haven't got one already (you weren't in the scouts etc) get one that has quite a low comfort level, one that has a minus sign next to it!
There are two types of bag filling, down and syntetic material.
Down is what you think it is, goose feather and is remarkably warm, but this often comes at a cost, although you can some times get good deals. It gives instant warmth and packs down very small. The only down side to down is that it doesn't work if it's wet, and when it's wet it takes forever to dry.
Syntetic insulation is foamy man made stuff which doesn't pack down like down, this gives a huge size, but at the end of the day we won't be hiking with the bag so that doesn't matter. The only down size to syntetic is it takes a few minutes to be toasty, but the cheapness makes up for that. If they get wet they're also much easier to dry, down stays wet for a long time!
There are different ratings for bags, comfort, transition and extreme. Comofrt is what the temperature outside should be for you to be happy and cosey. The extreme rating is where you'll definatly feel the cold and might well have a bit of an epic and really shouldn't use the bag at that end! The bags also have numbers on them for the temperatures they should be used for in degrees, it's not rocket science, the lower the numbers, the better!
Overall for your first bag get a reasonably decent syntetic bag!!