http://tvtropes.org/pmwiki/pmwiki.php/Main/BrownBagMask

I’m thinking about your reference to the paper bags worn by fans at games being related to the Unknown Comic, and I think that misses the mark. The Unknown Comic wore a bag over his head as his entire shtick, it was who he was.

Wearing bags on your head to games, which I believe off-hand to have started with New Orleans Saints fans in the ‘Aints period, was a public statement of personal shame. The fan(s) in question was embarrassed to be a fan of his/her team, to be seen in public and possibly on a local/national broadcast attending its game. The fan is also embarrassed by his inability to stay away, so there’s a level of care there, the fan hasn’t checked out of the relationship. The solution to this is to attend in disguise. Now, a good, professional disguise would allay the shame, but wouldn’t show up on camera, and would not deliver the public statement, so a conspicuous one is necessary. Thus the bag. The bag preserves the fan’s anonymity, and sends a clear message to the other fans, the management and ownership of the team that the current state of affairs is untenable.

As far as the origin of the use of a paper bag as a method of disguise to avoid personal humiliation, I can think of much earlier instances than the Unknown Comic. Sylvester the Cat’s son would often resort to donning one when their efforts to predate were stymied, usually by a cheerful but pugnacious kangaroo. I remember Sylvester would usually rip the bag off his son’s head, try to diffuse his feelings of shame and guilt, and harangue him to keep the faith and help out with the next attempt at bagging lunch. I haven’t gone on Google (yet) to research any earlier instances, but I think we’re on more solid ground with this than the Unknown Comic.