When I was little (40 years ago) then party bags normally had a thing of bubbles, a balloon, a piece of cake, maybe a packet of smarties, and any prizes you won on the games. That means sometimes you left with a bulging bag, other times you had a little bag with only a few things in it.
For my dc (15 years ago) it was more normally a piece of cake and small present, often a book.
I'm surprised at so many people saying they don't. Although anyone telling me they were doing it for environmental reasons would have the same inner eyeroll as anyone who tells me they're giving charity gifts for Christmas. If you wanted to do them, you could find something that wasn't environmentally unfriendly; it's just avoiding the hassle and trying to sound superior at the same time.
My point is that children have had party bags at parties consistently for 40 years. If it normally happens, then it's unrealistic to think that a child won't expect one. Perhaps the adult version would be if you regularly went to the pub and bought your last drink when they called out last orders, then one time they just closed up and you didn't get your final drink, then you'd feel a bit short changed.
Yes, we can hope they react in an appropriate way, but, it's the end of an exciting party, they're hyped up on exercise, fun and sugar, there are times that even the nicest child can react in a way we don't want.
And I'm with the people that it gives a good end signal to the party - with the bonus that the child investigating their loot then hopefully doesn't fall asleep in the car on the way home. 