But I've come to see the light.
At BlogPaws, I picked up one of Bamboo's Disposable waste bags & dispensers. It's a hard plastic case, containing a small roll of baking soda smelling plastic bags. I took the unit out on our walk, and instantly liked the idea of having out bags hanging neatly on the leash. No bulky pockets. Nothing to grab on the way out. Just keep the container on your leash (or by the litter box), and you'll never be left without one.
The bags roll out neatly, and if you pull out an extra by accident, they roll right back in. The baking soda aroma really does mask the stinky contents of the bag, and the bags are plenty big, tie up nice and neat, and help keep your hands clean and away from the mess.
So, now I'm one of "those" people that walks their dog with a "fancy" bag dispenser. But I'm not ashamed to admit it. In fact, it's one of the few luxuries that come with picking up poop. They start at about $4 at a store near you, with 24 count refill rolls are also available. Try the luxury for yourself!