I usually use a backpack I got at Target. Under $15 so it fits my budget. I've lusted after a really nice transition bag, but don't see the need. I recently bought a huge mesh tote from Old Navy (found it at a thrift store- can you tell I'm a cheapskate?) for $2 and it's my new favorite transition bag. I can even throw it on the back sorta like a backpack when I need to ride my bike to transition.
I'm a no-frills kinda racer, tho.

I still lust after a "real" transition bag.