it depends- sometimes i like the structured layout of changing bags- but i have a lovely mulberry that dh bought as a push pressie which i shove little things in for a quick trip to the supermarket - but i always have a fully stocked changing bag in the car and another on the pram if i am going out for any length of time.
I guess i have to carry around twice as much though! so its difficult- bear in mind what nappies you are planning on using- washables take up more room therefore bigger bag, bottle feeding needs all manner of bits and bobs, breast-feeding- well you don't put your norks in a bag and carry them around
boots give away a free changing bag if you join the baby club iirc- comes with a changing mat as well i think!