I like the spring loaded wing nut type that you close the spring wing nut and push through the drilled hole and it springs out on the back side. I purchase a seperate washer and nut that will fit the screw. Before installing remove the wingnut and install the nut then the washer, put the wing nut back on, push through hole, tighten screw untill you have needed room for hanging picture, then tighten the nut against the washer and it will hold the heavy stuff. Always try to figure what's behind before drilling.
Dave - I've used hollow core door anchors. These are short, self-contained anchors with a pointy tip. You don't need to make a really big hole and they tighten up pretty good. Sometimes you will have to hold the anchor with a pair of needle nose pliers until it grips the panel. I've also use the spring type anchors that Nash mentioned. Only problem with then is you have to drill a bigger hole. And with my luck, the drill bit will sever some electrical wiring in the wall. For hanging pictures, I prefer industrial strength double sided tape - the same that is used to hold molding on cars. You can get it at the auto parts store. Be sure and put a piece on all four corners.