It seems to be just an average brown bag, placed on the table in the room where the player begins. The bottom of it appears to be soaked with blood. From the P.T. interactive teaser trailer, the bottom of the bag is swarmed with cockroaches. The bag can speak and when it speaks something moves inside, so it might be possible that it has a human head which is about a size of Baby's head within the bag that is somehow still animated and alive, which may explain why the blood at the bottom of the bag is not soaked and leaking.