I use a small Timbuk2 bag for errands and such. What I really like about it is the "stabilization strap," which is a mini-strap that goes around the opposite side of the big strap. It really keeps the bag from sliding down in front of you and getting in your way. It makes it a little difficult to dig around for stuff in your bag, but you can unclip/clip it really fast. Other messenger bags that i've seen do not have this option, and always flop in front of you at the most inopportune times.

But if you don't arrange your stuff really well, things tend to poke you in the back in a really uncomfortable way.