Some basic models may be easier to cart around because they don't have any extra parts. You can also look for bags that leave the play yard's wheels free, so the whole thing can be rolled once it's packed up. If you plan on taking frequent trips (especially by air), you might want to consider a heavy-duty bag that you can buy separately, such as the Rover Gear Easton Travel Yard Bag (about $34).
Nice to keep baby out of trouble at home. Once he became mobile we had to do an "upgrade" as we noticed he was starting to hit his head on the X shaped metal bars. We tried some alternatives but the best so far was wrapping the metal bars with pool noodles (see picture). You'll need 8 pool noodles and some cuts (buy some extra in case you mess up). Use 2/3 of a pool noodle to wrap the internal bars and the remaining 1/3 to wrap half of the external bar. The pieces will also need a longitudinal cut along the length to fit the bar in. You'll also need some small cuts in the middle of the longer piece to fit the center rivet, where the mesh is attached to the bars. We got the pool noodles at the dollar store nearby for less than $10 and since ... full review