I've dry hopped two batches so far. The first I used an ounce of Centennial in a bag. The second time I dry hopped I used two ounces of Amarillo, straight into the carboy. I would say the second time I got a much better, more noticeable aroma out of the hops.
I know there are a few variables here... different type of hops, different amount... but I personally like the method of just throwing them in there better than using the bag. I just feel like it might allow the oils a little more room to work some magic. Oh, I also gently swirled the carboy a couple times a day after I added the hops.