I've done both and given a choice I would opt for a bag. The reason is it is pretty obvious it is a bike.

In a collection of experiences:
- Lufthansa allowed bikes to fly w/o box. I've flown back from Bangalore w/o a box twice and once I tried having the airport guys do the shrink wrap. I've also flown from US to Bangalore on Lufthansa w/o any box.
- Some years ago, flying back from Amsterdam (Air Canada?), choice was a bag. It worked fine.
- Departing from the US, I've often opted with a bike box at the airport. Those are getting a little harder to find. On my most recent flight, Delta in Denver didn't have boxes, so I went to United to buy a box from them. I had a similar experience the flight before that when Alaska Airlines didn't have a box, so I bought from United.
- Returning to the US, probabilities of finding a box at the airport seem sketchier. So flying from Vladivostok, Kuala Lumpur, I went to local bike shop and had them pack things in a bike-shop box. I also did this outbound from US to India one time as well.

Overall, if I have a choice, I actually like using plastic bag or even no bag at all, similar to Lufthansa. I need to pack it so it does well, but it is also obvious that it is a bike. I done quite a few flights over the years just riding to the airport and buying a box there. My impression is fewer airlines/airports with boxes as well as sometime international returns/destinations had led me to also get the bike disassembled more completely and put in a bike shop box.