The bag you should purchase for your pipes depends on several factors:
30 years ago, your only choices were pretty much limited to leather or sheepskin bags in small, medium, or large size, either with or without swanneck. Now there are several other choices.
One of the most critical characteristics of a particular bag is how well it keeps moisture from your drone and chanter reeds. If you use any sort of synthetic bag, it is important to use some sort of water trap, because even gortex bags do not breathe enough to get moisture away from your reeds without the water trap. Ross canister bags have a "built-in" water trap which functions extremely well as long as the particles that soak up moisture do not become waterlogged. If you use a Ross canister bag your reeds must be of the sort that work well in dry air. Often can drone reeds in particular function best with a little bit of moisture content, so if you use cane drone reeds the Ross canister bag may not work especially well for you. Other synthetic bags with somewhat less effective water traps may work better. However, for cane drone reeds the hide bags are best.
Leather bags and sheepskin bags have rather different qualities. Sheepskin is more porous and soaks up the moisture inside the bag better, carrying it to the other side of the skin, where it evaporates. If you play for long periods on a regular basis and use cane drone reeds, sheepskin bags will be best, especially if you are a "wet blower," i.e. your expelled breath has a high moisture content. You can tell if you are a wet blower by how long it takes your chanter reed to get significantly damp playing a pipe bag without a water trap. If your reed is definitely damp after 20 or 30 minutes of practice, and it started out feeling dry, you're a wet blower and need to take special measures to keep your reeds dry, such as using a sheepskin bag and/or a compatible water trap. Leather bags are much less porous and don't allow the moisture to migrate out of the bag as quickly..
Both leather and sheepskin bags need to be seasoned in order not to leak air, though a few leather bags are so naturally non-porous that seasoning it doesn't seem to make much difference and you may go for many months or even years without seasoning the bag again. But normally, when a hide bag dries out, it needs to be seasoned again to restore its airtight quality. Because sheepskin bags are better at moving moisture from the interior to the exterior, they dry out faster. If you play almost every day the bag will not dry out, but if you play irregularly - like once a week at band practice - you can expect to have to season your sheepskin bag every week. If you play only a couple of times a week, maybe only once a week depending on how moist your breath is, that will usually be enough to keep a leather bag in good condition for a long time without needing to season it again. If you are a wet blower and only play once a week, it is especially critical for you to have a good water trap, because you won't want to use the sheepskin bags due to frequent seasoning, while the leather bags or synthetic bags won't do a good enough job at keeping moisture away from your reeds while you play. In this case the driest bag setup possible will work best for you, and that's probably a Ross canister bag rather than any hide bag.
Synthetic bags have the convenience of never needing to be seasoned no matter how rarely you play. Other problems arise if you don't play often enough, like lack of physical conditioning to blow the reeds, but at least you won't have to worry about seasoning the pipe with a bag of synthetic material! Much noise is made about the "nastiness" of seasoning pipe bags, but this piper always enjoyed the process. And if you practice often, you rarely have to season the bag, so it's debatable whether the seasoning issue should be considered in choosing your pipe bag. But some people might wish to consider it, nonetheless. In choosing a synthetic material, always be aware of the critical aspect of water traps in order to avoid problems with reeds.
Some manufacturers' chanter reeds or configurations of chanter reeds are especially susceptible to going bad when they get wet; the most obvious symptom is an F that goes way flat. If you have trouble with F's that start out fine and often go flat after you play for a while, you need a way to reduce the moisture in your pipe bag. If you are using a hide bag and like it, try sheepskin, possibly with a water trap. Otherwise, use a better water trap, possibly a Ross canister bag. If you are already using a Ross canister bag, dry out the dessicant material! Possibly switching reed manufacturers to a type of reed that doesn't mind moisture so much will solve the problem.
Be aware that the dessicant of Ross canister bags needs to be dried often if you play a lot, especially if you are a wet blower. In the end putting up with a bag that needs to be seasoned may be less trouble than messing with drying dessicant material constantly.
Most water traps restrict the flow of air. Every bit of air flow restriction causes you to work a little harder to play your pipe. For this reason it's worth trying a sheepskin bag before you insert any sort of restrictive water trap in your leather pipe bag.
Most people use synthetic drone reeds these days. These reeds work perfectly fine in a completely dry environment, and chanter reeds typically work well in a pipe with minimal moisture from your breath. Getting pipe bag seasoning on a synthetic drone reed if it falls in the bag (as they are wont to do) is probably bad news. With synthetic drone reeds, the best choice is probably a synthetic bag with a water trap.
Synthetic bags are usually very light, and holding a set of pipes on your shoulder with a synthetic bag has a feeling some people find a little uncomfortable; it feels as if your pipes will fall off your shoulder, and indeed they are more top-heavy than with hide bags and there's only a flimsy material to hang onto under your arm, and so they MAY fall of your shoulder if a good stiff breeze comes up. Hide bags are heavier and get rid of this feeling. But if you never played a hide bag, you're used to how they feel with a light bag already and this probably won't bother you.
It may take a lot of work and money for you to get your pipe sounding its absolute best using synthetic drone reeds, while cane reeds always have it sounding the way the manufacturer intended. The issue of cane versus synthetic drone reeds is well-fought. Most people feel beginners should use synthetic drone reeds in order to reduce the trouble getting drones to play at all, and so if you are just buying your first set of pipes, you probably want synthetic reeds and a synthetic pipe bag. If you are more advanced and prefer cane reeds for their sound, you may well be happier with a hide bag, assuming you practice often enough to avoid constant seasoning effort which might change your mind for you.
If you get a synthetic bag, the Ross canister bag is going to keep everything the driest, and if you are a wet blower you'd be well-advised to use it. However, it is the most expensive type of synthetic bag and requires you to have a larger pipe case than if you use a different pipe bag bag. If you don't need the level of moisture control a Ross canister bag provides, there are other cheaper sorts of synthetic bags which can work well. One sort of bag to avoid is the synthetic bag that cannot be opened. Some bag manufacturers make a version that can be zipped open to dry out, and a different version that is fastened permanently shut. A very dry blower may be able to get away with the type that cannot be opened if there is a water trap, but most people at one time or another need to open a synthetic bag up to let it dry out inside.
The size of the pipe bag has great impact on how your pipe feels, how steady your blowing is, and how well your fingers work. The length of the blowpipe also affects this. A standard blowpipe is the proper length for a male on the tall side of average. If you are shorter than the average male and do not reduce the blowpipe length, either by purchasing an adjustable-length blowpipe (best choice), short blowpipe, or having your blowpipe cut short, you will either be turning your head to the side to compensate, holding the pipe out to the side, or holding the pipe too low. The former is bad for your body! The other two will cause playing problems, because the pressure you need to apply to the bag winds up being transferred through your lower left forearm and wrist. That compresses nerves and blood flow there, so your fingers won't move as freely as they need to. Even if the blowpipe is the right length, you still need to have a bag of the proper width - if the bag is too wide it will again press on your wrist.
Short men and most women are best off with a "small" size bag, referring to sizes of hide bags. Sizes of synthetic bags are all different depending on the manufacturer. In choosing bag size, the best thing to do is borrow someone else's pipe with a large bag and use tape around the bag to see what diameter bag you need. Use a tape measure around the girth of a correctly-sized bag and tell the vendor you are buying from to give you a bag of the size that most closely matches your measurement.
Hide bags have a variation called "swan neck." A swan neck bag has a slightly longer neck where the chanter stock ties in, which curves downwards in the direction of the chanter. It winds up affecting how far back on the bag you apply the pressure, but also how far down you have to reach in front of you to finger the chanter. Swan neck bags are usually less comfortable for people with forearms that are shorter than the average male's. If you buy a synthetic bag you don't have an option on neck length.
The size of the bag does affect how easy it is for you to blow a steady tone and to have a clean stop - the larger the girth, the easier it is to blow steady and empty the bag sufficiently for a good stop. Thus, don't go for a small bag when a larger one would work as well for you. Just watch out for undesirable pressure on the wrist and lower forearm, and be sure you have a blowpipe of the right length!
Tying in a hide pipe bag is a chore, but more importantly has to be done just so or you will have problems playing the pipe. If you receive a hide bag from a vendor and intend to tie it in yourself, you even run the risk of ruining the bag if you cut the holes in the wrong place or cut them too wide for the stocks. I've tied in my own bag several times, but it's definitely not a job for someone to do without having been instructed in how to do it properly. Videos or books may provide sufficient information, but it's best to have help the first time you do it yourself.
