In reply to Frank R.:
To expand, I think it depends on what your doing, if it's a short overnight camp then snow pegs are fine as are skis, axes etc..
For basecamps of multiple days you need somthing more permanent that wont melt out. And you cant use your kit as you need it! plastic bags work but will be single use as has been said, I have also trashed my nice stuff sacks and tent bags when digging them out. I've got some special snow bag anchors that i think came with my tent. My best anchor was the barrels they give you to shit in in Denali NP
This will also depend a bit on where you are, I.e a very snowy wet glacier vs a dry glacier with ice at the surface (where I've just used screws before!