Used to have a coat like this, but kicked it down. It's not perfect or stylish(but really, who here cares about that?), but it's thin, light weight, fairly breathable, compresses well, and quite warm(wore it in damp sub 30* weather with just a shirt underneath and was plenty warm). Takes a bit of work though...
Find yourself two flannel shirts(thrift store, kickdowns, shoplift, etc...). Both should be the same size.
Gather up a big bag of styrofoam packing peanuts. Dumpsters are your best bet, but if you talk to businesses that get a lot of incoming packages, most will be glad to save up any that they get and give them to you. Tell them you make bean bag chairs for under privileged kids or something...
Turn one shirt inside-out, then put them both on, with the inside-out one first(closest to your body). Sew them together around the bottom and front opening so that you form a double layered coat, but leave a small opening at the top, about the size of your hand. Leave the sleeve ends un-stitched, but sew them together at the shoulder seam.
Break the peanuts down to pieces about the size of a pea or a kernel of corn. Then start stuffing them into the hole. Every so often, give the coat a good shake to make sure the pieces reach the bottom. Once you got a layer about an inch thick, four inches high(from the bottom of the coat), and even all around, stitch the two layers together again, tight against the top of the styrofoam layer. Go from one opening edge to the other.
Repeat until you reach the bottom of the shoulder/armpit area. If the last layer before you get there is a little short that's fine.
For the rest of the coat, just stuff the pieces in without stitching it. I haven't yet figured out a better way of doing this part. Once you have that done, close up the hole.
For the sleeves, it gets a little complicated.
Mark off half the distance between your shoulder and the inside of your elbow. That will be where you make your stitch. Then make a mark across the inside of your elbow halfway across the sleeve, then mark out a sort of elbow patch. Stuff the sleeve and stitch it at your marks. The cuff area you have to figure out on your own, because there's no right way/wrong way to do it.
Make your button holes, and you're pretty much all set. It's easier than it sounds if you know how to sew. I didn't know how to sew at all and mine took three days. However, there is a caveat.
After you've worn it for a while(a couple of months), you'll notice the peanuts will start to settle a bit. To combat this, you'll have to open up the edge seams and stuff more pieces in. For the sleeves, you can put a hole near one of the original seams. Once you've done this a few times, it will be so full that the pieces won't settle anymore.
Yeah, it's easier to buy/steal a coat, and there's a lot of room for improvement, but if you've got time on your hands and looking for a project, go for it. Plus, you'll be keeping styrofoam out of landfills.