I use a 5 gallon igloo cooler with a bazooka screen and ball valve. I do 2.5 gallon batches, so the extra space in the tun allows me to do all-grain, even for high gravity beers. I'm also experimenting with no-sparge methods.
I did a few partial mash batches using the BIB method, and quickly found it very tedious and messy. Getting the cooler setup was just about the best money I've spent on equipment.