I like the burlap bag stuffed with plastic sheeting/bags, but also found that the burlap seemed to rot fairly quickly and dump plastic pieces all over my yard. I then found and tried the "U-Fill It" bag from 3rivers.
This is a heavy nylon weaved bag, and its been hanging in my back yard for 3 plus years now without any problems. It is good sized too, 32"X34", so it works well for "blind bale" shooting. The weave kind of just opens up around your arrows, then another shot next to that hole pushes it back shut, so you really aren't cutting any of weaves.