Some people would rather ***** than give advice.
If sheetrock is not up, you can do blocking behind the studs for location that you know you will need to attach stuff too. Like so.
http://www.wilkersonproperties.com/SanteFePark-Lot 32/Sante Fe Park - Lot 32 04-20-09 01-t.jpg
I know you can't always plan for everything, and sometimes it is too late, so you have to use the proper anchor.
watch this vid for Hilti toggles.
Home Depot and Lowes have their own versions. They all work fine. I only whip out the Hilti when I need to secure something precious. Like my 50" TV on a swing arm bracket that weighs 100lbs by itself. I used 8 of those toggles without any studs, or blocking on 5/8" rock. Trust the force.
If you plan on attaching something permanent, say an overhead cabinet. Construction Adhesive is the sauce. My go to is PL Premium. Once the glue dries, all your screws are purely for decoration purposes. Even if you remove every screw, plan being ready to take a section of wall off with the attached item. Don't ask me how I know.