See
this post from the Halloween Superthread, with photos of alternate trick or treat bags you can buy/use at DL (if you don't want to use the plastic bag that is given to you). I saw all of them being carried around.
Many people carry the park-bought tote bags. The orange bags were abundant (they were about $5.00). I bought the green & black twinkling bag (which is back this year, except this time it's actually orange and black, but it has the same design), which was about $10 and was a hot item. It was hard to find until just a couple of hours before the party started.
The other thing is that the plastic bags that are given out are not very Halloween-ish. Usually they don't have any Halloween symbols or imagery on them, and instead are advertisements for Disney movies that are out and other things. I like bags that actually look like Halloween bags and not ads for movies! I only mention this because it may be a big deal to kids to have bags that actually look Halloween-ish.