On a number of occassions when I have purchased too much, I have used a cardboard box to bring everything home. I simply put the items inside the box, tape it up, write my flight / contact information on it, and check it as luggage. Usually when I check it, I get asked "what's in the box," but I have never had to open one (nor have I ever had one opened by the screeners).

It is really great because you don't have to carry extra luggage. It also works well for items that cannot be "compressed" in space bags (e.g., food items). There is a bit of a drawback, though: unless the box fits on top of one of your roller bags (or you are particularly good at fashioning handles out of cardboard and tape ), carrying the thing on public transport can be a bit tricky.