The "best" anchor is a hotly debated topic in many places. A lot of people have strong opinions on the matter. Below are my personal opinions.
For a lunch hook, in sandy or muddy bottoms, I like the Danforth style anchors with the sliding ring, because they are easy to remove. Aluminum Danforths are also good here. I was surprised to see a little 4S Danforth hold my 27' boat in 30 knots of wind with 25" of 3/8" chain & 15:1 scope in a good sand bottom. Danforths provide A LOT of holding power for their size & weight when properly set in a good bottom. Unfortunately, Danforths can't be relied on to reset well after a tide change or wind shift, so I don't like to leave them unattended.
Plows grab in most bottom types & tend to reset quickly after tidal/wind shifts, but in heavy conditions they have been known to drag slowly with no end in sight, unless you really oversize them.
A CQR is very similar to a plow in appearance & performance. For may years they enjoyed excessive popularity because they were one of the few anchors that Lloyds of London would insure. Now, there are more choices.
Claws (like a Bruce) also reset well, & usually drag a little less than plows, but they can be a little more sensitive to bottom type. Genuine Bruce brand anchors are hard to find, but usually worth the extra money. Most of the knock offs don't perform quite as well. I still have pretty good luck with the knock offs.
The "modern anchors", like Rocna, Manson Supreme, Spade, Mantus, etc, are basically improved plows. They are not cheap, but they perform well in most situations. If you need to have only one anchor, and you expect to get caught in tough conditions at some point in time, & the budget is flush, then these may be the ones to look at.
The Mantus & Fortress anchors can be disassembled for long term storage in a small space. They are my favorite back up anchors for those unpleasant situations where you need to cut your main anchor loose.
As was already said, chain & scope are as important as the anchor itself. On 33' boats, with no windlass, I usually want 10-25' of 3/8" chain on the anchor & at least 1/2" 3-strand nylon line. Larger diameters of line are easier on the hands as well as being stronger, but if you go too big, then you don't get as much stretch & that can get tough on the deck hardware, unless you add a snubber. If the boat has a windlass, then I want to go with much more chain.
It is generally accepted that scope should be between 3:1 & 7:1 in most cases, with 7:1 having much better holding power, but shorter scope giving you less swing in a tight anchorage. Storm scope may need to be greater than 7:1.
The size of the anchor means as much as the type. Normally, manufacturers post a chart to suggest the best size for the particular size & weight of boat in question. Many people choose to go up one size from what the chart says, to add a margin of safety. Storm anchors should be AT LEAST one size larger.
Storm anchoring, or semi-permanent anchoring may involve the use of multiple anchors in complex geometry, but that is a topic for another thread.