I have one from MDI that has a one-way valve and an inflatable cushion to allow for a better fit against a face (and to adjust for altitude). It comes in a pouch that also holds gloves and a biohazard pouch. I got it from WMI when I did my WFR training for $15 or so.

The pocket/keychain ones are generally pretty minimal and often don't have the valve, but are better than nothing; I keep one in my pack/small first aid kit at all times.

(PS - whichever you use, it's still going to be messy.)

- Steve