For me, the PC and copolyester Nalgenes work, especially as a hot water bottle.
No matter how thick a bag I have, in long winter nights my metabolism drops so low for so long that the bag is no longer warm. I have used a -20 bag in a -2 hut and end up shivering early in the morning. The only warm winter nights I've slept were with a litre of boiling water in a PC Nalgene, insulated in a cozy.
I tried using the Nalgene bladder. It developed a leak at the seam. Soaked my thermarest. When I laid out the thermarest on a (looked to me) smooth rock it got dozens of pinprick punctures. After using my entire patch kit and my partner's, it still leaked. Fortunately that was 7 days into a 9 day traverse, so I only lost 2 nights sleep. I am unable to blame myself, so I have to blame the bladder.
I tried using the HDPE Nalgene – like others have said, it gets soft and squishy with boiling water in it, so I abandoned that.
I tried stainless steel water bottles, but they radiate the heat away way too fast, even with cozies. Way too warm when I first get in the bag, and cold by early morning when I need it the most.
For me, it's worth the weight.