I have two Grand Trunk All Terrain Hybrid Shelters
(fancy name for a hammock that can also be used as a tent or tarp - got mine on sale for about $30 each) and a 9x9 Noah's Tarp. I hang one hammock under the other with a mylar space blanket in between. I also have a Sleep Cell sleeping bag I picked up from Costco for $40. The Sleep Cell is cool because it has a built in foot vent (it originally had mesh in the vent but I cut out the mesh and can slip the whole bag over my double hammock set up. I've used this set up down to the mid-20's and been quite comfy.
Here's all the different configurations for the All Terrain Hybrid Shelter
(both of my "hammocks" and the mylar space blanket fit inside just one stuff sack)
I also have a Hennessy that I've used with the Sleep Cell bag on the inside but found the "cocoon" set up works better and the Noah's Tarp gives better rain coverage.
BTW, just found this but it looks like Grand Trunk makes a "hammock" sleeping bag
that works similar to what I came up with using my cheapo Sleep Cell from Costco!