We use a car seat travel bag. It's sortof like a duffel bag shaped for a car seat. It wasn't terrifically expensive and it's sturdy enough that I'm confident about it standing up to baggage handlers. I've heard stories about checked carseats getting destroyed when their straps caught in machinery and wouldn't feel confident in a garbage bag or bubble wrap preventing that, since those materials would tear easily.
The travel bag is also handy for carrying the carseats in and out of the airports when our hands are full of kids and other luggage. It has a long shoulder strap and you can sling the whole seat on your back.