Kurt and Mesha, I think you are both right on. One thing I tell scout troops when I work with them is, "If you go to sleep cold, you will sleep cold" The idea is that going to bed isn't going to get you warmer. I will usually do a couple minutes of jumping jacks, or run in place to get my body warmed up before going to bed.
I also second the beanie. Even my summer bag has a lightweight beanie in the foot of it, it lives there all the time. I have been in the mountains in the summer and been super glad to have it there-might be that I am bald, but the concept is the same, regardless.
The mentioning of the pad you sleep on is critical as well. Too many times I hear of people who buy nice sleeping bags, but are upset in the morning when they sleep cold...only to look inside their tent to see an air mattress when it is winter time.
You must be well insulated from the ground to stay warm. On a particularly cold night in the Swell years back, I added the floormats from my truck underneath the sleeping pads I had (thermarest and a closed cell foam pad) that made me sleep even more comfy and warm. Everyone else was awake sitting in their trucks getting warm when I awoke well after 9am.