Sleep sacks, just making their appearance in North America in the last 5 or so years, have been standard in Europe and the U.K. for many decades.
Sleep sacks help to eliminate loose bedding from your baby's sleep area, which removes the danger of the blanket blocking free airflow. Re-breathing carbon dioxide has been identified as a leading cause of SIDS. It is important to keep the air around your sleeping baby as fresh and clean as possible, and to eliminate any potential for their face to come in close proximity to items that might block fresh air flow, especially once they begin moving around during sleep.
Sleep sacks are simply put on over your baby's pyjamas in place of a blanket.