Fantastic article about various drywall anchors. Gives weights, drill bit sizes, how to remove - all the things they SHOULD tell you with your new shelf kit, but don't. I'm saving it as a pdf file in my e-reader.
When hanging pegboard, you want to make sure that the board is sitting 1/3" or so away from your wall so that the hooks, pegs, etc. can fit behind the board without damaging your wall. To do so, we put 7 washers on our screws to keep the board from the wall. You can also purchase little plastic spacers to go on your screws, but washers were a pretty cheap alternative. We also made sure to use wall anchors when hanging our pegboard, just to be safe and ensure that it can support weight