There are a lot of people who use the BIAB method. I hear you can make good beer with it, but to me the logisitics of dealing with a bag of grain that weighs 10-15 dry and a lot more wet, kinda outweigh the supposed simplicity. Give it a try and see what you think, but I'll bet you'll be switching to a cooler after a few batches.
I went ahead and gave this a try over the weekend. Denny wasn't kidding about the weight of that bag! 10 pounds of grain sure gets heavy when it's wet and you have to hold it out of the kettle to avoid the bag scorching to the bottom. The whole process was fairly simple, my brew pot just didn't hold it's temperature as well as I thought it would. I had to fire up my burner half way through the mash to get the temp back up a little. It only took a few minutes, but it felt like a long time holding that bag up.
The biggest pain of this brew day was the grain bag itself. It is a reusable nylon bag and it didn't want to come clean. It took nearly a half hour to get all the grain particles out of it when I was done. If I wasn't so cheap, I'd have thrown it away.
So after the BIAB experience I can say it will be my last. I went out and bought a cooler that I can turn into a mash tun, similar to the setup Denny has on his site.