Leg, thigh or drop leg bags are like packs or smaller backpacks that you can attach to your leg or waist. They're usually designed with a strap around the thigh, or similar to a fanny pack with a belt like mechanism to go around the waist. Often used by military or police, leg bags provide a great option for storage of items that need to be accessed easily (rather than within a full backpack). A thigh bag can sometimes come in the form of a pistol holster or even a carry space for a knife. When you're on the move, there's no substitute for being able to easily access important items at your side.
Leg and thigh bags, like the name would suggest, are usually attached around the thigh or waist. They can sometimes be designed similar to a belt, in that there is a buckle or clasp mechanism that goes around the waist, with an additional strap to go around the top part of your leg. This is to ensure that you have full mobility without compromising on easy access to whatever it is you're carrying in your thigh bag. Depending on the size of the thigh bag, there could be more or less strapping to attach it to you, with something like a pistol holster requiring a sturdier attachment around the waist. Whereas a knife attachment may only require two bands around the thigh.
Choosing the best thigh or leg bag for you comes down to what you're going to be using it for. If it's for carrying an extra water bottle outside of your water bladder, then go for a lighter weight thigh variant that supports a canister. Having drinking water at your side is an incredibly valuable asset to have when you're in a survival situation. If you're looking for a thigh bag for hunting expeditions to carry a pistol and ammo, then go for something that's a little bit more sturdy in its securement to the leg, but that also provides a position on the leg whereby it's easy to unholster.