I think that party bags are part and parcel of a party.
When dd has her birthday party, and she's only had 2 so far, we go to a play area place in town that do the party bags as part of the package. They consist of piece of birthday cake, notepad, pencil, stickers, and sweets. Sometimes they get a little ornament thing, which dh sneaks into the bin after a few weeks but usually they are quite good. And since they are included in the price per head it saves me the hassle of having to worry about them.
You don't have to spend a fortune on party bags. any party bags that dd has brought home from other parties at peoples houses etc are usually full of the same things.
But if you don't want to do them don't. 3-4 year olds would be happy with a piece of cake and a balloon.