I would pick up a 100 fathom shot of anchor line, 25 to 40 feet of chain depending on the length of your boat, an anchor bouy, a 6" stainless ring, some shackles, and a 21 pound claw anchor. If you're in a smaller boat you could get away with a little smaller anchor as Nelly mentioned.
Depending on the tide and the seas you'll need to have anywhere from 1.5 to 3 times the scope to hold bottom. Be careful anchoring in heavy seas or heavy chop with smaller amounts of scope, as you can dig your bow in and turn your boat into a deep six. In calm seas it's pretty easy to anchor with a smaller scope amount though. Once your anchored up watch your GPS and see if you're making way. If so pay out some more line. If I'm anchoring in 250 feet of water I'll usually have about 500 feet of anchor line out.
For pulling anchor use a 6" stainless seine ring that will slide over your anchor line and chain. You can either attach your anchor pulling bouy directly to that ring with a heavy duty carabiner or run a short painter line to your anchor bouy. When your ready to pull anchor put the boat in gear and steer away from your anchor point at about a 45 degree angle running about 1/3 to 1/2 throttle. Do a big circle around your anchor and eventually the ring will slide thru the chain and your anchor will be floating on the surface. If you plan this right you'll be upwind of your floating anchor and the wind will push you towards the anchor as you're stowing the line.
Be very careful not to wrap your anchor line in your wheel. If you're still anchored up and this happens the boat will then be facing stern first into the seas. No bueno! For this same reason don't ever tie off to a stern cleat to pull the anchor
There's a couple ways to add a chum bag. Pick up some of the big bait bags that the king crabbers use at Seattle Marine or tie up some onion sacks full of goodies. Be sure to attach your chum bag as close to the anchor as possible or you'll tear it off when you're pulling anchor. I usually attach mine right to the uppermost part of the anchor.
Hope that helps and feel free to axe if you gots any more questions. Thursday is Hammer Time