If you have a complete set and look at them regularly, I think having them bound is the classiest option. (I've never actually done it myself, but it's what you find in academic libraries and I'm a fan of the concept.)
If you are missing issues or almost never look at them BUT still want to keep them safe, I'd recommend bagging and boarding. I WILL SAY THIS about bagging and boarding: get "buffered" or "alkaline" boards and DON'T tape the top-flap shut. Even if a board is labeled "acid-free" or "archival" they can often become acidic over time and may end up needing to be replaced after a decade or two. That may not sound like a big deal, but it's annoying. As for taping the top flap, I've ended up accidentally getting the tape stuck to my comics/magazines enough times to have taught me it's a bad idea. Just fold the flap down or tuck it into the back and you'll be fine.
Oh, and I'd also recommend keeping them in a plastic box like
this instead of the cardboard ones you might find in a comic shop. That cardboard is never acid-free and will degrade over time. It's more expensive but if you get things that last, you'll never need to worry about replacing them!
(I manage the local history section of a library so archival standards are what I'm about!)
