We use the plain old rope twine. There are two tricks to it. Move the bales off the field with a stabber or a prong, and feed them with a bale fork. Using a prong, doesn't break the twine, and it will hold up till feeding time. If not, maybe put it on a little thicker. Use the fork to feed, it will get under the bottom of the bale and you won't loose it when you move it, especially if the bottom of the bale is froze down. We put about 1/2 of what we raise in a shed, so we don't have any trouble with the sisal(?) twine then. We don't remove it.
The trouble with plastic is that our baler (JD 530) begins wrapping as you are baling, and we usually keep baling until the twine arm makes one pass. You can never get all of it out. Plus with it or the net wrap you have to throw all that junk back up in the cab, and after the first couple of bales you don't seem to be doing anything but dragging it out every time you get out of the tractor. Then you have to pull the whole mess out to burn it, or throw it in the dumpster, as it manages to hook and pull everything else you might have in the cab (especially the long chain we usually carry). The only reason we would consider the net wrap is for the faster wrapping, but so far we just haven't wanted the hassle of feeding them. If you were going to sell or buy some hay, or if it was going to do alot of loading and unloading onto trailers as you fed it, the plastic twine or net wrap, might be worth the hassle.