It's nice to be able to keep them together; instructions/pattern, yarn, and needles.
Here are a couple of cheap and portable solutions I've found:
1. use those plastic boxes that dishwasher soap tablets come in. Cut a corner out of the lid and you can use it as a yarn bowl. These things come in two sizes where I live, the bigger size easily holds 2 skeins. You do have to wash these containers though because they absolutely reek of dishwasher detergent.
[dishwasher tablet box as project holder]
2. Go to your local dollar store and pick up some cheap pencil cases. I've found ones that are 8.5"x11" and made of some kind of nylon netting, for $2 each. They're the right size for patterns and your needles can't poke holes in them (unlike ziplock bags!). I love these for travelling - pop one into your backpack or purse and you're good to knit on-the-go!
[pencil case from the dollar store as project holder]
Any more ideas out there?