I've heard the back and forth on this for years, and I'm going to try a logical argument for clothes over no clothes.
The purpose of your sleeping bag is to keep your body warmth in; to be a shield between you and the big, bad, no-heat outside world. It would help for one to understand that there is no "cold", there is only a lack of heat. Heat is your friend in the cold, cold night. (okay, the no-heat, no-heat night!
)
If the loft, or insulation, of your sleeping bag is what is keeping you warm--again, by keeping your body heat inside where it belongs--why would it follow that more loft (again, as insulation) in the form of clothes would make you colder, and less insulation (nekkid!) would make you warmer? Remember, it's all about a
heat barrier between you and the outside.
If you climb into a sleeping bag with cold clothes on, it may take you a little longer to get warmed up. You're warming up the clothes too, after all. Climbing into the bag naked lets you get right up next to that soft, snuggly down that you paid so much for, and your maximum warm-up is fast. I believe that is where the mythologizing comes from. Your max warm-up is less however.
The real test, and where I believe that I've found the truth, is when you are sleeping out in weather that is at the edge of your bag rating. I'm now carrying a Mountainsmith Wisp 30 degree down bag, because it only weighs 1.5 pounds and it feels so good. On nights when it gets below 30, and there are many, I layer in the bag just like I would on the trail. I stay very warm in my bag that way. If I were naked, I would be extremely uncomfortable or maybe even in danger of hypothermia.
Layering works in more ways than you might think, and if you're trying to keep your pack light, you can't do without it.
Nekkid in my bag? Well, since Squeaky won't fit in there with me, why bother?