How cold are you talking about? If it doesn't get much below 25-30 degrees I use a ThermaRest Z-Rest closed cell foam mat. They're cheap, light, and will keep you warm if you put a space blanket underneath, use a good bag, and wear a stocking cap. The don't fold down very small, however.
If it gets much colder than that, I use a DAM (down-filled air mattress) that is insulated with 800 fill down. There are lots out there to choose from. They're ultralight, ultra-compact, ultra-warm, ultra-cozy, BUT ultra-expensive! They also lend themselves to punctures, which can lead to dangerous situations in the winter if your mat goes flat and you can't repair it adequately. However, DAM's do often have the highest R-value. Just don't sleep with your broadheads!
One more thing...if you get an inflatable mattress, get one that is self inflating. All those of good quality designed for winter use will be. Then, be patient enough to let it inflate itself. It will take longer in winter. You DON'T want to blow air into the pad, as the condensation could freeze when you roll it up and put it inside your pack the next day. This ain't a good thing! :eek: