I have also heard that double bagging increasing the risk of breakage.  Stranger, I've also heard that visiting TS's increases your risk.  Word to the wise...

Yes, this is correct. My recollection is that there have been published studies on this, although not, as one might suppose, with live subjects. Instead, this is accomplished with mechanical dildos, and the permeability of the condoms to virus- and bacteria-sized particles is assessed after simulated sex.

Another debatable issue is whether spermicides applied to condoms, such nonoxynol-9, are really effective in preventing HIV infection. Early on, it was assumed to be true, largely because nonoxynol-9 inactivates HIV in the test-tube. Alas, clinical studies have not really supported these test-tube studies. Indeed, nonoxynol-9 may actually promote transmission of HIV, by irritating sensitive mucosal-membranes.

So the take home message here may be to use only one condom at a time, and just use water-soluble lubricants.

I recently had a client want me to put on 2 condoms before intercourse.  I refused explaining this increased the chances of the condoms breaking.  He looked at me funny, like you did not believe me.  I told him to call the AIDS Hotline if he didn't believe me and that I follow the Safer Sex protocol as outlined by the CDC.