A dull subject but it is important that your kite is safely attached to the ground when you are not flying as well as when you are setting it up and packing it away.
I use three different types of peg depending on the kite, wind, and ground type. These are:
Cheap and small - ideal for securing all the delta dual line kites, quad lines and so on. They are cheap to buy (less than £1), essential for allowing you to fly by yourself (you don't need anybody to hold anything whilst setting the kite up).
Works fine in grass and hard sand in 'normal' winds.
Not secure in loose sand, or with a higher powered kite and strong winds.
Cost: About 20p
Much larger than the, er, small pegs. You use this to secure the large kites - especially power and traction kites.
You can use these on any surface, but on hard ground (such as grass fields in summer) they are hard to insert.
However I would recommend these when flying with others as there is less chance of injury to other flyers if they fall over you peg.
Cost: About £3.50
Great for securing the large kites to the ground.
Works with any kind of ground, and does well with hard surfaces (on account of being hard and sharp).
However other flyers don't like these pegs (even if your kites are nice and safe) since if someone is being dragged towards one by their traction kite they could give themselves a nasty injury.
Cost: About £1.00