We've all seen the warnings on plastic bags that they could be a choking/suffocation hazard, especially to small children. This warning applies to pets as well. Even bags we wouldn't think of as problems, such as a potato chip bag or a grocery bag, can get stuck over your pet's head and cause problems, even death.
Be sure to keep the bags away from your pets. Since pets tend to get into the garbage, it's a good idea to open bags at both ends before discarding. It's also best not to encourage your pets to play with or inside of plastic bags...if they must play in a tight spaces, paper bags are better (though still keep an eye on them), or even a box without a cover.