I use a regular leash but only 4 ft long. I head to a park with trash cans first so I can throw out the inevitable poop-bag.
I use the short leash for walking too actually. This is ever since a crazy lady got mad at me for letting my 63 lbs son walk the dog on an 8 ft leash. Even though Porter did NOTHING and wasn't even pulling, she felt my son wouldn't be able to stop him if he went to bite her. Like I said, crazy.
We have a 10ft leash, 3 feet (adjustable) to go around me, clipped together like a belt, then 7 feet to the dog with a hook onto his collar. We got it at Petsmart, made of red nylon.
I run with a Bamboo leash/seatbelt combo that I got at Petsmart. I actually got it on the clearance rack. I tried to find it on their website but it looks like they redesigned it with only one pocket. The picture of mine is below. As you can see, it has the two pockets. The top one has a zipper that holds my key while I am running and both are good for poop bags. Plus it has the seatbelt so I can buckle him in the car. I love it and the pockets double as handles on the leash as well. I haven't tried the hands free leashes that go around your waist because this one works for me, but at some point I probably will.