This depends on how much room you've got in your garden, what material you like the look of, and what kind of atmosphere you're trying to create:
If you haven't got a large garden or if you'd simply like to achieve a patio-style effect, you should go for a wall-mounted pergola, which will look like a dramatic extension of your house, giving it an exotic Mediterranean feel;
Free-standing options are probably what you immediately pictured when thinking of a pergola: they're a majestic choice that can help you define a separate area in larger gardens;
An anchored installation involves pushing the structure into concrete to promote stability and durability, and it might be required for specific pergolas, especially those made of wood.