In reply to jmerrick21:
I'm lucky enough to have 3 insulated jackets to pick from:
In Scottish winter, you have to deal with a range of conditions including getting snowed on and it then melting, getting dumped on by spindrift and that then melting, or even just the climb itself melting and running down your sleeves. Between that and the generally high humidity, you're dealing with damp conditions more often than not. Even on very cold crisp days, chances are there's still a lot of spindrift. For these conditions you want a big synthetic jacket. Synthetics tend to weigh more than down for the same amount of insulation, but the advantage they have is that they can keep you warm even when damp. My previous jacket is somewhere in the corries of Nevis having been catapulted 60 feet into the air by an impressive gust of wind, so I recently bought a Mountain Equipment Prophet, which has a much more water resistant outer fabric. It's nowhere near being "waterproof", but you can tell straight away it was made to shrug off snow and avoid the damp melt you normally get.
For summer climbing, I have a much thinner insulated jacket that weighs nothing and takes up very little space. Living in Scotland, I opted for synthetic here as well, but if I were somewhere drier I'd probably have opted for down. This layer also worked well in the Alps last summer, as we didn't go higher than about 3300m and therefore didn't need a big puffy jacket.
For higher-altitude in the Alps, or even a winter Alps trip, I have a big puffy down jacket. The drier conditions over there makes down preferable to synthetic. You might still get snowed or spindrifted on, but the lower humidity and more intense sun help everything dry out faster. This jacket is also my standby for getting out of a sleeping bag on a cold morning.
If you're just starting out and need one jacket to rule them all, I would recommend starting off a with a decent weight synthetic jacket (the exact one to go for is down to your preference). It can handle the biggest range of conditions and although it might not be the lightest or most packable type of jacket, it will cover you in situations where a down jacket would give up, and a thin jacket just won't do.