If your anchor rode is all chain, or a lot of chain, you should (must?) use an anchor snubber. For sailors that anchor mostly with rope, an anchor snubber is a short length of rope which you attach to your chain. It is used to take the direct anchor load off the windlass and to add a bit of elasticity to your rode and reduce shock loads.
It's the "attach to your chain" part of things that gets tricky. We've always used a simple galvanized metal chain hook. It has a few drawbacks - after a while it gets to look like the picture. Because we have a catamaran, our snubber is a bridle arrangement that goes to both bows and meets in the middle at the chain. The legs of each bridle section are about 25' long. I'd dutifully hook my chain hook to the chain, let out more chain until the bridle snubber took the load and call it good. If we were anchored in less than 25' of water, and the weather was calm, the hook would end up on the bottom, and more often than not, it would detach from the chain. This was a headache to put it mildly.
So I've started using a Better soft shackle made from 1/4" spectra rope (fits inside 5/16" chain). It's easy to open and close, and never lets go of the chain. You can do it up on deck and the snubber won't pop off the chain as it goes over the bow roller. People test these shackles at well over the breaking strength of 1/4" spectra - about 7500 lbs. So it will be strong enough for a snubber. And it's cheap, never rusts, and is easy to replace if I drop the shackle in the water!
2nd thought - If you're a monohull, without a bridle, you can ignore this part. Our anchor rode is a mixture of about 160' of chain and about 160' of rope spliced to it. We don't really need a snubber when we get to the rope portion but we do use one; the bridle keeps our boat pointing straight into a strong wind when the monohulls nearby are shearing back and forth. To attach a snubber to the anchor rope, I use a 3/8" prussik loop and then attach the snubber soft shackle to the prussik. The prussik doesn't slide up the anchor rode when tightened a bit.