I think these seems to be UK-specific but instead of rolls of change from the bank, which I think is normal in the US, we tend to use these types of bags;

http://www.amazon.co.uk/Mixed-Coin-M.../dp/B001RYAPYE

I just pop into my bank and ask for a bunch. They weigh absolutely nothing and I find them totally indispensable.

The "no mixed coin" bit is just to say if you use them for paying the coins in at the bank they should only contain certain quantities of coins (£1 in pennies, £5 in 20p, etc ...) so they can be weighed.