Depends on what kind of weight it have to bear. Plastic wedge/drop-in anchor are good enought for most light weight job. Tapcon screws are good for most light to medium weight tasks, but they are a pain to get good grip and can take a bit of work to install the screw. Nail in/hamer drive sleeve anchor (smackies) are great and are quick to install for medium and light weight jobs. Steel or lead wedge bolts/sleave bolts/drop-in slugs are use in medium & heavy weight/grip applications.
IMHO, plastic wedge/drop-ins are good enought for pictures, and it would best to go with steel or lead wedge/sleave bolts or slugs drop-in for shelving.