Something that has always peplexed me is that you are warmer in a sleeping bag with your clothes off rather than on. My common sense tells me that wearing clothes should add another layer of insulation and thus allow you to stay warmer, but I know from experience that this is not the case. Can someone tell me why?
Your common sense is correct and your observation in the first sentence is wrong. Should we ever be out camping together and it gets dangerously chilly, I will happily wear your clothes as well as mine while I’m in my bag, thus allowing your naked self to stay “warmer” in your bag. FWIW I have had plenty of cold weather camping experience.
The urban legend about being warmer without clothes in a sleeping bag is just that, an urban (wilderness) legend. It’s not true for exactly the reasons you stated; insulation is insulation. I’ve tested this in all temps from 50 to -30 and without a doubt extra clothing keeps you warmer.
The typical reason why some folks get the mistaken impression of the opposite is they wear their hiking clothes which are wet with sweat from the day. That will cool you off, getting rid of those and putting on dry clothes will prove the point.
One other possibility is that extra clothes make the sleeping bag a very tight fit on your body, compressing the insulation and restricting movement - both of which will make you feel colder.
But the bottom line is that insulation is insulation. If you’re cold, put on a dry layer inside your sleeping bag.
I tell all the ladies that they will stay warmer at night if they take off all of there cloths before they get into my sleeping bag. 
If your clothes have sweat in them, you will get cold as hell.
I found out the hard way that the best way to keep your feet warm is to change socks just before climbing into the sleeping bag.
Another trick is to sleep with something over your face*. You’ll be a lot warmer if you’re breathing warm air than if you’re breathing cold air. You don’t want to suffocate, of course, but something light and porous will still make a big difference.
*And no jokes from the peanut gallery, either! 
And wear a hat. I am always dumbfounded at how I can go from bone chillingly cold to quite toasty with the addition of a square foot of cloth - if I don’t have a heavy winter cap, even a bandanna tied 'round my head makes things much much warmer.
Yep. Change the layer of clothing right next to your skin just before getting into the bag and you’ll see quite as difference.
Also, wearing a layer between you and your sleeping page helps prevent the bag from getting dirty and losing efficiency.
This is key. It’s another reason to pack a good towel, besides the obvious one. A towel makes a perfect nightime head-cover, which will boost the rating of any sleeping bag considerably.
You want to make certain that you’re exhaling to the outside air, not into the bag, lest your warm breath create a chilling dew in the bag. In general, the trick to staying warm in a sleeping bag is staying dry, i.e. changing into a dry, wicking layer before entering the bag, using a thermal pad to keep the bag from absorbing dew off the ground, drying the bag properly after sleep, et cetera. If you start to sweat, the best thing to do is open up the bag to get some ventilation and cool off before you saturate the bag or your clothes. I also use a bag liner, both add some additional insulation and to keep the bag clean.
In really cold weather, one old trick is to take a metal canteen or Nalgene bottle, fill it with hot water, and wrap it in a fleece cover or large sock. You don’t want to make the bag too warm, however, so it’s important not to overdo it. Another old trick is to make a warm rock bed by creating a large fire over a bed of rocks, letting it burn down and then carefully dig out all of the embers, then cover it over with a 3-4" layer of dirt. The warmth radiating out of the rocks will keep the ground and anything above it warm in the middle of a snowstorm. Of course, this is hardly a “Leave No Trace” camping technique and it’s hard to find anyplace these days in which this would be acceptable, but in an emergency it’s a good way to stay toasty with minimal covers.
Stranger
I knew there was a reason why I liked you. You’re obviously a hoopy frood who always knows where his towel is.
I do sleep in a sleeping bag with minimal clothing (down to my skivvies) if it’s going to be chilly - not cold. I do sleep with my clothes in the sleeping bag with me though. Then, in the morning, I put my clothes back on and get out of the bag. I find that if I wear my clothes in my sleeping bag, it is very difficult to convince myself to get out of it in the morning. It is also difficult to get out of my bag and put on clothes that are cold.
But, if it’s gonna get down below freezing, I do wear clothes in my bag. Not much use for a head warmer, because if it’s going to get that cold, I’ll be in my mummy bag which cinches up tight over my head so just my face is exposed.
Did I write sleeping “page” ??? Strange…
If sleeping in close-fitting clothes restricts your movement, I could imagine that might make you feel a bit cold - sometimes just being able to fidget keeps you warm, or enables you to move into a position where you conserve your own body heat more readily, but I doubt that makes enough difference to make up for the loss of an extra insulating layer in situations where it matters most.
BTW, if you want warm feet in the sleeping bag, trot down to the river and wash them in ice cold water right before retiring (this is assuming you’re not generally chilled through) - by the time you get snuggled up in the sleeping bag, your feet will feel like someone set light to them.
And, often sleeping in clothes will make them soaked with sweat even if you went to “bed” with them dry.
I bring a extra light wicking shirt, “Sleep socks” and a wool hat, and that’s all I wear in a bag. Like brewha Isometimes sleep with my clothes in my bag.
Those thick polypro loose fit socks make perfect sleep socks.
Oh, and no cotton. “Kotton Kills”. Wool, silk, new super wicking materials, Smartwool, whatever. But no cotton. (Waxed cotton is Ok as a shell).
Cotton is OK, I’ve found, but I agree that a skin-out change of clothes before you get in your sleeping bag as well as a wool watch cap and wool socks are the best ways to stay toasty all night long. I was camping in the Allegheny National Forest one night and it got down to forty below, but I was comfy. Never tried a towel over my face; that makes sense.
Huh? …are you serious? (This is GQ, after all)
…or is this like the idea of making yourself feel good by banging on your head with a hammer?*
- ('cause it feels good when you stop)
I would like to add my WTF? to chappachula’s. Just how is this supposed to work?
Of course, the thermal pad is even more important to keep the cold away from the bag (and you). In the winter, two pads on top of one another are often recommended (it’s what I do).