a place for zinesters - writers and readers
I've got envelopes with pretty designs that come flat in a pad, and you tear them out, fold them along the lines and lick the glue to seal them. They're called something like Fold n Mail and they come in loads of different pictures. I've got Yellow Submarine, Nancy Drew and the Pink Panther. They're the perfect size for quarter size zines, are made of stiffish paper that protects the zines, and everyone seems to like receiving them.
I send my zines in regular invitation-size envelopes (perfect for quarter-sized zines), unless I'm sending more than a few, then I use old card envelopes that are slightly larger. A lot of my zines are light enough to be sent as a letter if I'm mailing one at a time, so that's cool. I've received a few zines in bubble wrap envelopes before, which seems wasteful (both material-wise and cost-of-postage-wise) and silly; it's just paper.
On a related note, if you go into card stores like Hallmark, they keep their old extra envelopes, bundle up a bunch of them together, and sell the bundles for $1. I think there are usually twenty or more envlopes in a bundle, so it's quite the steal. And obviously I'm a big fan of reusing envelopes.