Lots of great responses - summary: watch weather, wind direction, tide range, tide shift, depth, stay in a lee from the wind and any potential wind shift (we write this swinging on the hook in a cove that protects us 320 degrees around), and when you anchor, if you can, 'feel' her set by lightly holding the line as you reverse and the anchor digs in. If the bottom resists a set you will feel the hook skidding on the bottom - if she sets you will feel the resistence in the line.
We rarely stay in a marina since we love to be in natural surroundings - that's one reason we are on a boat - we consider a marina (with it's noise, closeness to others, and amenities to be 'city.')
We have anchored thousands of nights and trust our hook- she has only let go twice - in 50+ wind gusts - we started engines in both cases and held her bow to the wind while the boat rehooked.
For us, anchoring is a major part of boating - enjoy it and the quiet and excitment of being surrounded by nature and far from the bustle of usual human activity