As Nuttsgt stated - you can use tapcons in cinder block, I have done it many, many times. Just make sure you use the correct size pilot bit and do not over torque the tapcons. Larger diameter shank tapcons have lower probability of twisting off or stripping out.
There are many different anchoring systems for block or concrete, if you don't like the tapcon approach - just Google concrete anchoring.
I also think you are well advised to mount a 2x4 frame of sorts as it will give you flexibility - maybe you want to mount brackets for lawn tools in one area, pegboard in another and maybe a few shelves in another. It will require far less drilling into the block if you attach the 2x4 flat on the wall as a starting point.
You could also consider using construction adhesive along with the anchors you choose for added strength, but only if you are certain you will never be removing it.
Good Luck