After avoiding buying a change bag for a while (I thought they looked too obvious) I finaly bought one just over a year ago. I bought a one-handed change bag with a zip (zipper) at the bottom.
The advantages of the one handed version is that it is almost totally undetectable when you 'do the work' and it's great if you want to incorporate it into a puppet routine.
I use it as part of a comedy routine where I ask a child to put a silk into the bag and we'll make it disappear. It doesn't disappear but changes colour. I pretend not to notice that it's changed colour and act all disappointed that it hasn't disappeared - which opens up a whole lot of oppurtunity for some funny interaction with the children.
The zip at the bottom is great as well. I start off by demonstrating how to make the silk disappear and put it in the bag with zip open - it falls right through - but I don't notice. The kid's all shout that it's open but I carry on as if they aren't saying anything and Iturn the bag inside out to show that the silk is gone - I get a huge fright cos the silk has changed into a hand - then I realise it's my hand. I 'rebuke' the kids for not telling me the zip was open - they say they did - you get the picture. I Turn the bag over and zip the bottom shut. What I've done here is shown beyond a shadow of a doubt that the bag is empty - without having to point it out.
When I do the color change of the silk I turn the bag inside out because the silly thing isn't working and I'm trying to figure out why - showing it empty again.
I end the routine by making the silk vanish and then taking it out of my mouth followed by mouth coils. This might not be for some people - but the kids find it really amusing

My change bag looks very much like the bag they use in some churches to take up the collection. In the right context I've made a joke of this as well.
I know most of you know this stuff already - but often people ask for ideas for kid's shows, so I thought I'd share.