Get a fortress anchor. They work 10 times better than a standard danforth style. Make sure you have plenty of rode(chain) for weight which helps reduce the pulling angle on the anchor. Last thing to do is have plenty of scope. 5-7 times the depth is recommended. In other words, if you're anchoring in 10 feet of water, let out 50-70 feet of line. You want to pull on the anchor almost horizontally...it's the only way they will hold in rough water. If the scope is too short, you're pulling up on it too much and not enough horizontally.
That's about it.