In reply to Ava Adore:
> Because if it isn't small you won't clip it to your harness and therefore it won't be with you when you really really need it.
> And because I WANT one that packs up small.
Belay jackets (i.e. down or synthetic duvet jackets) are never going to pack down so small that they'll fit on your harness (I know it was David Wright that mentioned the harness).
Which makes me wonder if you're really after an insulated item, or simply a windshirt (e.g. Montane W's Litespeed jacket). A windshirt will certainly make a difference if all you're wearing is a normal fleece. And it will pack down a lot smaller than a chalk bag.
Likewise, anything that is waterproof is likely to be relatively bulky.
If you want something that will pack down small enough to go into a small MTB hydration pack, then look for something filled with 60g Primaloft One; I've got an old Montane Solo that I take skiing in this way. It's not waterproof, though.
You might find some interesting suggestions here:
http://www.outdoorsmagic.com/forum/forummessages/mps/dt/1/UTN/29495/last/1/...
Or look at Rab VR Trail or Marmot DriClime shelled micropile items; lightly insulated windshirts.