It can get below freezing at night (as in below 32F or 0C) so bring an appropriate sleeping bag.
This is an exaggeration. Normally nights get to about 50F or slightly lower. It has NEVER been below freezing on-playa during Burn Week, even before the event moved to the playa. The lowest low ever recorded (Sept 2nd) was 34F.
http://www.quora.com/What-are-the-tempe ... urning-Man
However, it sure does FEEL cold when the nighttime temp is 35-40 degrees lower than the daytime temp. So a sleeping bag and a sheet for when the bag is too hot are a great idea.