I don't really have a dedicated "craft bag", as such-- mainly because I rarely take my crafts out of the house. Around the house, I keep small projects/yarn in a bowl, ceramic flower pot, or whatever else seems suitable. For larger projects, where there's lots of yarn to keep corralled, I'm partial to plastic tote baskets (like the one in the photo). I bought a few at Dollar Tree-- well worth a dollar each!
When I do want to take a project on the road, I use any of a variety of bags, such as this cute denim purse made by either my mother-in-law or her sister. (They sent several over for me to distribute, one Christmas, and I'm not sure who made each one.)
Though I don't have a "real" craft bag, I like the idea of one. I'd like something with at least a couple of pockets so I could keep all the necessary notions just so. It would be best if it didn't have a velcro closure-- maybe not even a zipper-- for the yarn to snag on, as well. It would need to be roomy enough to hold a couple skeins of yarn in addition to the project itself... But really, unless I start carting my projects around much more often, I can get along very well just using something I already have.