Wall plugs are a fixing that enables a screw to fix an object to a porous or even hollow structure using standard screws were otherwise the object could not be supported. As there are many different types of wall and screw so there are many types of wall plugs. The most common wall plugs are plastic and are suitable for most fixing jobs.
An anchor bolt is a large heavy duty metal version of a wall plug which are used to anchor heavy objects to vertical surfaces, these and other wall plugs are often called Rawlplugs, this however is a brand name and not strictly correct. There are also wall plugs for cavity walls which differ in design but are the same in principle in that they all have some form of arms that splay out inside the hole once you begin threading your screw into the plug.