I gate checked my favorite stroller on the way home from WDW in 12/06, no bag. It came out the other end COVERED in grease; the seat, the canpopy, everything was a MESS. Since it was not broken (only "dirty"), the airline assumed no responsibility (read the gate check tag they give you carefully; it covers their butts pretty well). There was no way to clean the stroller so it went into the trash.
As a result, I now bring a bag for my stroller and my carseat everytime. On our last trip to WDW we forgot it, and AA said they no longer provide them due to cutbacks. My smart DH asked for a large trash bag from the airport McD's & that worked just fine.