A lot of things (tent, stove, pots, sleeping pad) can get wet and still work fine. For things that can't (dry clothes, down bag), I use a trash bag. If it is within stuff sack, the trash bag can be pretty thin (kitchen trash-can bag, for instance).
More so for day hikes, but sometimes on longer trips on which I'm not bringing a rain jacket or poncho, I'll bring a trash-compactor liner bag. They are much thicker and tear-resistant but still much lighter and more compact than any rain parka. I leave it intact as a dry bag, trash bag, lower-body bivy sack, etc, unless I need it as rain jacket. Then I cut or chew a head hole and two arm holes into it.
Don't tie a knot in a trash bag, just leave some of the top unfilled, burp out excess air and twist the neck of the bag repeated. That will keep out the water. If you do that inside of a stuff sack, the twisted neck can stand being submerged in water for a while.
For smaller volumes (like a down puffy on a day hike), I've used the affordable, very light-weight nylon dry bags from Walmart. a set of 3 for $8. The largest would take many quilts or compact sleeping bags. I've used the smallest size for phone, first-aid kit, and wallet – stuff I need to be dry but don't need routinely.
http://www.walmart.com/ip/Outdoor-Recreation-Group-Set-of-3-Ultimate-Dry-Sacks/10928125
The measurements they give are laid-flat, max dimensions. The useable length and dimeters is less.