the ones I use sit inside the tank, connecting to the inlet
hose, and wrap all the way around the inside of the tank.
As far as I know, they're just made of paper. Like these:
http://www.amazon.com/Shop-Vac-Fine-...2-00/dp/B00002.

Seems like that would limit the uses of your (well, *my*) shop vac. I
wouldn't want to use it for wet stuff or sharp stuff with that bag
installed.
Yes, I could remove it for those types of uses, especially the wet
use, but it seems like it would defeat the purpose (keeping the filter
clean) if I had to remove it before I vac'd nails or other sharp
objects along with the dust.

Yes, you would need to remove the filter bag if you wanted to vacuum
liquids, but the same reasoning applies to the pleated paper filter that
comes with the vac.

Personally, I have never had a need to vac liquids. Most of what I vacuum
is sawdust from woodworking, automobile carpets, drywall dust, and COLD
woodstove ashes (after shoveling the vast majority out). I don't vacuum
sharp objects very often either, but I've had nails and other items go
through and have not noticed any rips or tears in the liner bags.

Another big bonus to the liner bags is when the tank gets full. No big
cloud of dust as you dump the tank, just unhook the bag and lift it out.
Very quick and painless...

Anthony