Layers - This won't come as a shock to most people, but wearing layers of clothing is a time-tested and proven way of keeping your body insulated and warm. Something as simple as an undershirt can make the difference between a comfortable night's sleep and waking up feeling chilly.
High Quality Blankets - Another no-brainer, but often overlooked. A high-quality blanket or duvet goes a really long way to trapping body heat and keeping you cozy! During the winter months, you might want to upgrade your normal blankets to a proper duvet. Some of the new synthetic down alternatives aren't cheap, but they work great and wear well.
Keep Your Extremities Warm - The first parts to get cold are always your fingers and toes! Always pack a pair or two of warm socks to sleep in, a pair of slippers if you want to get fancy. The idea of losing "50% of your body head heat through your head" has been debunked many times, however a decent hat or beanie will indeed keep your head warm and trap a ton of body heat if the rest of you is covered up!
Yeah, most of this stuff is common sense but sometimes common sense seems so simplistic that we look past it in search of a more complex answer. We've spent many nights in temperatures down in the teens without experiencing any discomfort using nothing more than the ideas outlined above! Stick with what works.
Are we missing something? Feel free to add your own advice below.