Typically, Anthology albums are particularly tricky to specify.
The same song is likely to be on both the Rod Stewart Anthology and the Ron Wood Anthology.
This problem is not solvable right now as MC cannot link a track to multiple albums. This is a typical problem with compilations and movie soundtracks where tracks appear, which are also on an original artist album.
Either you have multiple files for the same song (for each album it appears on). Or you have one file only and associate it to the most "original" album *).
Regarding the Artist field in case you have the same song multiple times, i.e. multiple files, associated with different albums: you could fill the Artist and Album Artist fields as suitable for the release, e.g. "Ron Wood" in one case and "Rod Stewart" in the ther.
*) This is what I do, I list a track on the first album it appears on and try to avoid "Best of..." albums, and those tracks will not appear on compilation albums and soundtracks. The main reason is, that by doing this, the album year (which should be the same for all tracks on the same album) is the release year of the track, and therefore it is very easy to make smartlists with "Music from the 60s & 70s", "Musiv from the 80s & 90s", etc.
By the way, a nice and sophisticated solution from csimon, although I am not sure if I'd recomend it to a newbie struggling with the differences between Artist, Album Artist, etc.