Concrete screws are fine, but they don't have great pullout strength in concrete block. If properly installed in poured concrete they're quite strong.

If you happen to have a block wall I'd use an expanding anchor of some sort. Plastic plugs, togglers, and expanding sleeves would all be appropriate.

Finally, size and quantity are important. I wouldn't use 1-1/2" #8 screws to mount 3/4" plywood, for example. 2" x 3/16" would be more suitable, and with a quantity of at least 6, with more depending on your sheet size and load. Post more details in your question for a more specific recommendation.

I would use high-quality plywood (BC grade or better) of at least 5/8" thickness. Anything less won't hold enough of a screw's threads for any significant load. 3/4" OSB would be ok, but it tends to release "strands" when screws are run in, resulting in a rougher surface. It is plenty strong, though, and is often more dimensionally stable than plywood.

If you have regular moisture on your wall, seal it first with a suitable paint-like coating, or apply 4 mil or heavier poly sheeting behind the board. This will reduce mold and rot.

Anchors
Concrete screws are fine, but they don't have great pullout strength in concrete block. If properly installed in poured concrete they're quite strong.

If you happen to have a block wall I'd use an expanding anchor of some sort. Plastic plugs, togglers, and expanding sleeves would all be appropriate.

Finally, size and quantity are important. I wouldn't use 1-1/2" #8 screws to mount 3/4" plywood, for example. 2" x 3/16" would be more suitable, and with a quantity of at least 6, with more depending on your sheet size and load. Post more details in your question for a more specific recommendation.

Boards
I would use high-quality plywood (BC grade or better) of at least 5/8" thickness. Anything less won't hold enough of a screw's threads for any significant load. 3/4" plywood is ideal, and doubled would be excellent. 

3/4" OSB would be ok, but it tends to release "strands" when screws are run in, resulting in a rougher surface. It is plenty strong, though, and is often more dimensionally stable than plywood.

Don't use particle board or MDF as moisture is likely to be present, if only in small amounts. Neither is great for holding screws anyway.

Moisture Management
If you have regular moisture on your wall, seal it first with a suitable paint-like coating, or apply 4 mil or heavier poly sheeting behind the board. This will reduce mold and rot.