One thing rarely talked about with regard to anchor selection is whether or not that big hunk of steel will fit conveniently on your boat, and whether or not you will be able to deploy it easily.
The photo shows a typical mooring pickup struggle in Cuttyhunk Pond. These folks are now hooked up, but a lot of people have problems getting a line through the little eye on the top of the mooring pole and then securing the line before the wind blows the boat away. There's not a lot of room to maneuver, and you can imagine the language used when the wind is howling.
In order to lead the mooring line fair many boats require the removal of the anchor from the roller, which can be easier said than done when you are dealing with something pointy, weighing anywhere from 35 to 75 pounds (or more), and you are leaning over the bow pulpit or bowsprit trying to do it. Even if you can get the thing off the roller, which frequently requires letting out some chain and then pulling it in upside down, you still have to be able to manhandle it aft and out of the way. That is when I regret not having steel-toed boat shoes and shin guards.
Whatever you do, don't allow a mooring line to chafe on your anchor. Experiment with what angles the mooring line will be pulled to if the boat yaws from side to side or pitches in bad waves. I have seen a lot of boats on permanent moorings that leave the main anchor on the roller, even though the line chafes on the anchor under certain conditions. No matter how great your chafing gear, this is not a good situation. One of the most common causes of mooring failure is chafe on the painter.
Another situation where you may want to remove the anchor is when sailing offshore. Bigger boats rarely dip their bows under, but I have done so in heavy weather and I didn't want any possibility the anchor would come loose. Usually, some extra lashings will do the trick, but some folks have anchors way out on bow sprits that add a lot of resistance when you dip that thing into green water.
It may sound silly, but this little bow dance to remove your anchor is worth practicing a few times when you are securely tied up somewhere calm. When the wind is screaming, your mate is shouting something at you from the cockpit, and you have just pinched your finger, it can be difficult. I have added a short length of line attached to my anchor, which goes over the side with the anchor when I set it. The line gives me something to hold onto during the awkward removal process, and helps me to tie it down quickly once on deck.
Other considerations begin earlier in anchor selection. Yes, holding power and setting ability are important, but if the anchor doesn't fit on your bow roller in the first place, can you even use it? Some people are discovering that the newer roll bar anchors conflict with bow pulpits, anchor rollers, and bow sprit arrangements. In some cases, modifications can be made to your existing hardware, but in other cases major changes would be required.
I have encountered certain anchor and roller set ups that when pulled hard home on the roller the anchor jams in place, which is usually only noticed when you are trying to release the darn thing and the wind is roaring. I have had to pry the anchor forward in order to get it free. Other anchors sometimes are too long and the shank interferes with other deck hardware when the anchor is pulled all the way in. Sometimes, there is no good way to secure the anchor when in the roller, so it wobbles and bangs around, creating noise and wear. Whatever you do, don't drill any holes in your anchor shank to allow you to secure it to the roller--an anchor is the last thing onboard you want to weaken. If you anchor is just too loose up there while sailing, try using some bungy cords and/or line to secure the thing.