Down insulation is obtained from geese and ducks: the smallest feathers found next to the skin. Generally speaking, goose down has a higher warmth-to-weight ratio and packs down smaller than duck. The warmth of a down jacket, or the 'loft', is measured by its fill power. The higher the fill power rating and the ‘loft’, the more warm air the down can trap, and the warmer and more packable the jacket.
The maindrawback of down insulation is that it loses its ability to retain heat if it gets wet, because this causes the down to stick together. Therefore, down jackets only perform well in dry conditions. Down jackets which have a hydrophobic (water resistant) coating are available, however, they still don't perform as well as synthetic insulation in wet conditions.
Remember, many jackets come with a DWR (durable water-repellent) coating, so will be able to handle quick showers, but not much more.