I think manufacturers contribute to our confusion because they all use different terminology.
To my mind, a jegging is essentially a calf sucking jean (in Janet's brilliant phrase) with more stretch or perhaps different stretch in the fabrication than a typical skinny, and an even slimmer calf and knee area. It has the stretchability of a legging or ponte pant, but the details of a jean -- button and zip, real pockets, etc.
But because we all have different body types, we'll perceive these issues differently. For some, ANY skinny will be calf sucking. For others, even an ultra skinny will be flapping around on their calves.
I have learned to read calf size openings. That often gives me the information I need about how a jean will feel.
In terms of fabrication, the jeggings that I happen to have purchased are heavier than most on the market. I have tried on jeans at places like Zara, Urban Outfitters, etc. and many of the GAPs offerings. Those are super thin fabric that I agree would provide zero insulation. For me it also provides less than zero figure flattery, so I have never purchased jeggings like that.
The ones I did buy (and will save for reluctant wear with tall boots) are two premium pairs. One is a DL1961 high waisted denim -- the denim itself is as heavy weight as a regular jean, but there's more stretch in it, or 4 way stretch or something that allows it to fit snugly at the knee and bounce back. Very sleek.
My other pair are reversible Bleulab jeans. The reason these are more substantial is that they are exactly what it says -- reversible! They are coated on one side and denim on the other, and because the fabric is layered they are actually my "winter" jeans! They're quite cozy.
