Anchovies for me. Not sure how others may bait their hooks but I like to cut off the head at an angle, this to allow the juices from the gut cavity to flow out, put the hook where the sun don't shine, and roll it out the front of the gut cavity. Bind this on with bait elastic (not bait cotton) it really helps to bind the tail end to the trace, this stops the bait sliding down the hook.

It pays to go to The Warehouse or somewhere similar and buy a small chilly bag, this to keep the anchovies frozen, it is far easier to bait the hook with a frozen fish body than one that has thawed out and gone soft.

This is a personal thing, a headless but whole bodied anchovy looks totally natural because that's what it is. It's aerodynamic shape aids casting because it offers less air resistance, it maintains the perfect shape of a fish when in the water making it totally natural.

I hope this helps, it certainly works for me.