I love my tail bags :) Can't handle horses with spindly, horrible tails so my guys always get bagged!
I don't use the rugless tail bags though, 9 times out of 10 my horses are in rugs anyway, occasionally they'll get a 'naked' day' then rugs go back on.
The bags that I use are a waterproof vinal type material with a zip and velcro on the top, so the whole tail is covered and protected.
These are the bags I use and swear by: Day Bag: Showerproof Denier
Have NEVER had a problem with them getting caught, coming off etc. Bloody fantastic, Billy will be wearing one as soon as his tail is long enough and I start rugging him :)