Quilter's Dream has a batting that they claim is as warm as down. It will be polyester, though. I've heard that polyester is actually warmer than cotton because it doesn't breathe, but as JeanieS said, it's lightweight. If you're looking for natural fibers, I'd choose wool over cotton for warmth. Another idea -- I've tried the Hobbs silk batting, and they say that is warm, but it is very, very thin. Maybe combine wool with silk? You may have to choose between heavy and warm, because cotton is heavier but wool is warmer.