I mash in a grain bag in my kettle on the stove. I mash 5lbs of grain (including base and specialty malts/adjuncts) and typically get around 75% efficiency.
The mash needs to have some heat added occasionally to account for heat loss, since the kettle is not insulated.
As far as flavor and efficiency, this works well for me. I've not tried another process, though I have thoughts about mashing in a cooler. Someday perhaps.