Paper, I guess...

This Salon article about plastic bags should help you answer the question at the checkout line.

The plastic bag is an icon of convenience culture, by some estimates the single most ubiquitous consumer item on Earth, numbering in the trillions. They're made from petroleum or natural gas with all the attendant environmental impacts of harvesting fossil fuels. One recent study found that the inks and colorants used on some bags contain lead, a toxin. Every year, Americans throw away some 100 billion plastic bags after they've been used to transport a prescription home from the drugstore or a quart of milk from the grocery store. It's equivalent to dumping nearly 12 million barrels of oil.
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According to the Blue Ocean Society for Marine Conservation, more than a million birds and 100,000 marine mammals and sea turtles die every year from eating or getting entangled in plastic. The conservation group estimates that 50 percent of all marine litter is some form of plastic. There are 46,000 pieces of plastic litter floating in every square mile of ocean, according to the United Nations Environment Programme.