The bag contains various things - printed schedule, lanyard to hang your badge from, and whatever assorted tat the conference sponsors have paid to have put in there.
For some conference attendees the bag is convenient, because when they visit vendors' stalls and get handed leaflets and brochures and free pens; and if they didn't have a bag it'd be inconvenient to carry.
Of course, different conferences have different norms - free-entry trade shows will often offer attendees bags as talking to vendors is the whole point. Academic conferences won't. Fan conventions might or might not, it depends. Beer festivals will offer beer glasses instead. Cosplayers never have visible bags, although they sometimes have giant suitcases.
Good examples are pens and spiral notebooks, one can never have too many. Really bad things I have gotten are rubber wristbands and a "phone holder" that was supposed to hold the phone in place while charging.
Also emphasis on the "replaced often" part. Most people will probably use a bottle opener or a keychain thing, but they only need one. What is the chance that they needed one right before the event and that they will keep using the one the event gave them? Or for example, water bottles seemed like a cool idea when I first got one from an event, but now I have 5 water bottles with sponsor logos and I still only use the one that came with my carbonated water maker.