Choose a weight-bearing wall. The weight gives the wall more strength, meaning it will be able to hold most anything up. If you choose a wall without weight from the roof attached to it, be more careful about how much weight is anchored into it. A wall in a modern home should be able to support more than 50 pounds, but if it is not weight-bearing, what it can hold depends on the specific house's age and construction.
Use the proper tools. Using a cordless drill to screw in a concrete anchor will sometimes strip the hole and cause the anchor to have far less strength than it should. Make sure to use a hammer drill or a roto-hammer.
Hold the hammer drill securely and put the anchor in slowly, making sure that the concrete is not stripped on insertion. If done correctly, the screwed-in anchor should be very strong.
Read up on the type of anchor you are going to install. Depending on the size and weight of the anchor, it can be designed to hold a shelf or a rock climbing wall. Get the right anchor for the right job.
Try hanging raw weight from your anchor for a day or so before hanging something important like a television from it. That way you'll have a better idea of whether it is struggling under the weight.