There a couple of different types of gym bags and they all function similarly in that they can store your clothing and equipment allowing you to pack what you need to get ready for a great workout and to clean up after. Each type has its positive points as well as areas where there may be some features lacking for some. The best thing to think about is what your needs are, what you will need your bag for, will help you pick the best option for your requirements.

Traditional gym bags
These products are pretty similar to duffel bags with the exception that these models will tend to have more storage pockets. They offer various compartments so you can organize and place your clothing, toiletries, gear, etc. in their rightful spot. They will often have mesh pockets which can hold things like water bottles or anything that needs air or sweats.

They will have shorter handles to hold or you can go hands-free with longer shoulder straps which are usually adjustable to fit your size. In some brands, there will be a frame inside the construction that provides a bit more stability and form.
They will come in a wide range of brands, sizes, colors, and aesthetic styles.

The pros for this style is the multiple pockets and compartments that allow you to separate your items, they are generally affordable, and they can be multifunctional as a workout storage option, weekend travel bag, or a carry on for a flight. Where they have cons would be all those extra spaces create more spaces and crevices that mold, debris, dirt, and bacteria can hide making them a bit less hygienic if not taken care of.

Duffel bags
These are very popular for working out as well as for your carryon used on a flight. They are very basic in their construction and form in that they generally don't have many compartments or pockets and are more of a simple one large storage area.
They are easily packed when not in use making them a great space saver because they don't generally use a rigid structure, so they can be folded and put away easily. They include handles and some will have a shoulder strap.

The pros with these options how light they are, the ease at which they are packed and stored away, and they are very inexpensive. What they don't offer is separation for various gear and clothing, some may offer a shoulder strap but many will not, and they aren't made super durable. The seams used in these are fairly basic just like the construction, you aren't going to want to use these for very heavy items.

Backpacks
Backpacks can come in a range of sizes from mini versions to very large varieties. They take a load off one of your shoulders that straps can cause by distributing weight on both shoulders and across the back which eases the weight you may be carrying. They can carry heavier options as well as light and they generally have many compartments of varying sizes, and many models will also use mesh compartments. Some will have extra loops to clip things to like your keys for example or anything that can be attached by a carabiner. More heavy duty options will use a chest/and or waist strap to go round your body and allow for more security when wearing. They all pretty much include a small handle on the top.
These are ideal for those individuals that have to use both of their hands at all times and need their packs to be stowed out of their way while they are active. Think bicyclists, commuters, hikers, etc.

The pros these products offer is definitely the hands-free and hassle-free wear, they can be used for so many different purposes, and they can distribute weight better. There aren't too many cons, but they tend not to have the very large compartments that the other styles boast so they may not be the best option for a weekend trip.

Gym Totes
Gym totes are going to be simply very large bags that have handles. Some use drawstrings for closure while others don't use a secure closing system. They can be very stylish in how they are made and they can be helpful for very large items like yoga mats or towels. They can offer an outer pocket or inner divider, but in general, they are just one big open storage sack.

These options are well used for larger, bulky items. They do not offer much separation for multiple items and these can be less secure in their closure system or lack thereof.

There are several materials various products will use in their construction. Here is a couple of the most popular.

Polyester
This is the most common option used, it is heavy-duty and strong. It is super functional and easy to maintain, many times you only have to wipe it to clean it off. It responds well to moisture so if you have wet items, it's not going to let that water soak through and cause a mess when you are carrying it. This is good and bad. While it won't allow water to penetrate it also doesn't breathe meaning that any wet materials if left too long can have issues with bacteria growth or mold and that can also come with a nasty odor.
Nylon
This material choice is light in weight and fairly affordable. It is easily folded because it doesn't hold shape well. The downside here is that it tends not to be too durable and it doesn't hold moisture well. It can stain too. This is a material that is best for light use and for those that are looking for a bargain.

Leather
has a lot of benefits. It has a chic expensive look, it is durable, and holds its shape. Where it is lacking is that that expensive look also costs big bucks, so plan to spend some cash on leather products. LEather can also be heavy and bulky. It is hard to maintain and can stain easily as well as retain noxious odors. For gym purposes, leather is best used as a supplementing material in the handles or for trim with another material option being used for the majority of the construction. If you are going on business trips and need something that has a level of class to it while traveling, full leather options could be a fine choice.

Canvas
It's tough and rugged made from cotton or a blend of cotton. It tends to be light, affordable, and the maintenance is quite easy as it can be thrown in the washer and let to air dry. IT is a terrific option for smelly, sweaty gym clothes. Canvas won't hold water well by itself, but many options use a treatment that can provide water-resistance. Canvas options can be all the same material or use touches of heavy duty leather for style and added strength.

Once you have figured out the needs you have, how hard you are going to use your bag, and the style that would work best, it makes sense to look at which features are more preferable or practical for you.

Compartments
As discussed in the style section, some options are going to offer more compartments or compartments that have security seals using velcro or zippers, while other designs are going to be more basic and not have as many storage size options built-in. If you have smaller gear like headphones, cellphones, and keys, watches, or jewelry that you ant separated from your larger items like your clothing and toiletries, various compartments may be necessary. Perhaps you just need to have a place for wet items like water bottles and shampoo to be separated from clothing and shoes, then you'd only need minimal sectioning. Most people find at least a couple compartments helpful, but for very basic use you can save money by selecting options that have fewer design features.

Waterproof Materials
Where are you working out? Swimmers or that that is going to be outside may best benefit from materials that are more resistant to water and hold it better. If you really sweat during your workouts, this can be a beneficial feature too. You may not need to have your whole bag waterproofed, some models offer waterproof compartments that are separate from the rest of the product.

Water bottle holder
There are many outer pockets used with mesh or plastic type materials which can keep your bottles easily accessible and can allow breathability while resisting possible sweating.

Reinforced seams
If you are carrying heavy items or a lot of items that can add bulk, you aren't going to do well with an option that lacks durability and has flimsy seams. If the bag breaks it defeats the purpose of using it. Some will need reinforced seams in the construction because of what they are carrying while others can get away with a simple design.

Yoga mat strap
For bulkier and awkward items like a yoga mat, some options are specifically designed for carrying these pieces of gear by incorporating a specialized strap that they can easily attach to. This makes it much easier to pack up and carry as you go and keeps your arms and hands-free.

Ventilated shoe pocket
Sneakers are some of the most stinky gear we have. When you have gotten a good solid sweat session in, your shoes and clothing may be damp. Shoes can take much more time to dry out and need the extra airflow and ventilation to help the process along. A shoe pocket that is designed for air circulation can help your shoes dry faster, allowing them to lessen the likelihood they will develop germs, bacteria, and mildew that reduce their hygiene and use. You pay a lot for quality shoes, keeping them in good condition only makes sense.

Solid Closures
Reinforced zippers, heavy-duty velcro or solid metal buttons can help seal your bags closed so that you won't have to worry about any of your items fall out. Closure systems that have extra supportive fabric that can improve strength and protection will be very beneficial if you are moving around a lot from place to place or are needing to use public transportation where you could be bumped and bounced around increasing the risk of losing items from your bag.

Wheels
For heavier items or if you are carrying a lot of gear with you, wheels could make your trips and travel much more convenient.

Padded straps
WEaring a strap helps you keep your hands open, but the amount of weight you have in your bag can put a large stress on your shoulder. Added padding can soften that stress and provide a more comfortable fit.

Color
Color, patterns, and design can be very appealing to some that have a personal style they like to show off or that they like to match with their outfits for example. There are many styles and color options for most of the brands out there, that you can find the most subdued option to the most flashy.