If you want a warm jacket, look for something insulated. Most people I know do not use an insulated jacket, myself included. By properly layering* the outer jacket really just becomes a weather-proof shell that also allows body moisture to exit. The last thing you want is all that moisture from sweat and body heat being trapped inside as that leads to eventually being wet and cold.
I have noticed lately on jackets that I have seen that are insulated, it is targeted insulation in specific zones. This probably saves the manufacturer money but it also makes sense to me in that it allows for a lighter-weight, less bulky, jacket that still allows for freedom of movement while still providing that extra bit of insulation to cover those key areas (chest, back, etc.).
*Proper layering is not like Randy from A Christmas Story. A quality base layer, a mid-layer, and a shell/technical jacket and pants keeps me very warm on all but the coldest single digit days.