Like others have mentioned, the clicker is merely the PREDICTOR of a reward (ooh, I have done something right). It marks the behaviour at the EXACT time that it takes place (so your timing has to be spot on) and then the reward comes after. A good way to work on your clicker timing is to have someone bounce a tennis ball on the ground, and you click every time the ball touches the ground. The person can try and trip you up by grabbing the ball instead of bouncing it again, which will teach you to be judicious in your clicks and wait for behaviours to occur instead of clicking preemptively and marking the wrong thing (which is okay if you do, the beauty of positive reinforcement is that mistakes are easy to fix and there is no damage to your relationship with the horse). But even if you click by mistake, you still have to treat. Like I said, mistakes are easy to fix so don't feel bad if you have to give your horse a freebie.
Before doing any clicker training, it's important to "load" it first. A click by itself means nothing to the horse unless you take the time to tell them what it means. So when I'm introducing a clicker to a dog (I work with dogs, just starting out with horses and haven't clicker trained one yet), I reserve the first 3-5 days to do a few 2-3 minute sessions each day, when all I do is click, treat, click, treat, click, treat. The horse (or in my case, dog) doesn't have to do anything to earn the clicks at this point. Once you know they understand that the click means a treat, you can start applying the clicker to actual training and ask for basic behaviours like targeting the hand, or lifting feet, etc.
Some horses (and dogs too) are sensitive to the click sound and may never really come to like it. There are a lot of different clickers out there, and some of them are harsh sounding, some of them have a softer click. My favourite is the iClick, which you can order from Amazon or directly from Karen Pryor's website. Box clickers that you can buy at Petsmart and the such are definitely harsh sounding, harder to click, and I generally don't prefer or use them because the dogs don't like them.
In Saddlebag's situation, I think you moved too fast with the dreaded plastic bag. If I were working on a similar situation, the horse would just be getting clicked for being in eyesight of the bag sitting on a hook ten feet away, etc. Clicking and treating the horse every time they looked at the bag, to let them know that the bag is what brings the treats. Working up to shaking the bag or touching the horse with it, etc. would take anywhere from a few days to a few weeks depending on how fearful the horse was. The point isn't to do what you can to get a reaction out of the horse, the point is that they never react. Positive reinforcement training would make for boring TV because it's all about keeping the animals under threshold and increasing your criteria very slowly if you're working on things like fear or aggression (which are often the same thing).