I have a Land's End bag that I've had for years, but some features I like are:
separate sections on either end (I use one for my shoes, the other for water bottle and like stuff),
a small front section that works great for comb/brush, workout papers and keys (even has a key strap)
it has a detachable shoulder strap
I've used this as a travel bag for overnight too. It's very tough and the zippers are large and sturdy. I bought my DH a new bag for Christmas, and he likes that it has a place for wet clothes separate from the rest, as well as a water bottle net section on the front. I end up keep my shower slippers in a plastic grocery bag on the bottom of the inside of mine (but I usually go straight home and shower there, so they don't get used a lot), and keep another bag for the sweaty clothes.
