Your observation about weight and cost being a toss-up is accurate. I'd include bulk there.
Comfort: I find the hammock a lot more comfortable than any sleeping pad I've ever tried on the ground. Your observation about being able to set up anywhere with anchor points means that if you find two posts, you can sleep on (above) asfalt even. As titanium_hiker points out, sleeping on the diagonal allows you to sleep virtually horizontal.
Thermal heat loss: yes, this is the big issue to solve. I just took delivery of an underquilt rated 20*F that weighs 700 grams in its stuff sack. I tested it this weekend in 0*C, and lying in my hammock I felt I didn't even need anything on top of me. In the winter you can use snow to your advantage also in hammocking (or so I'm told - not sure I'm man enough to try at the moment...) by pitching your tarp low and building up snow to close the bottom gaps. Helps trap the air inside at least.
Ease of set-up: This is currently my focus. I've been tinkering to get my stuff to where I want it to be in terms of comfort and weight. Now I'm focusing on what makes the set-up and break-down procedure easier. This weekend I was out testing new stuff, and with my hammock in snake skins I could shove it together with the underquilt down into a stuff sack in a matter of seconds. I have a larger set of snake skins on order, known as lazy slugs, which will swallow it all together, and hopefully make tear-down even easier. No poles to dismantle, no tent floor, inner tent, rain fly to separate. Just shove it all in (except the suspension, which you shove in its own little stuff sack). All the while, you're standing under the tarp that you pull down last. Using snake skins on that too makes it a matter of seconds as well.
It seems a little prohibitive to start just to try it out, since you seem to need so much. But chances are you have a tarp and a sleeping pad and sleeping bag already. Get a cheap hammock, use the pad for bottom insulation (not as comfy as an underquilt, but you'll get the idea whether hammocking is something for you), your sleeping bag for a topquilt, and hang away. At least you'll know if it's something to pursue.