Look for solid attachment mechanisms! The all-in-one saddlebag style bags are cheap, stay on, and hold a decent amount, but they generally have cheap zippers and aren't water resistant. If you constantly ride in the rain, I'd recommend waterproof ones (though they're very expensive) as you can just throw your stuff in it and forget about it. I rarely ride in the rain, so I use the cheap saddlebag kind and made some plastic stiffeners to help them keep their shape.