The south end of Pelee Island: the side you
anchor on will depend on the wind direction. Be warned though, it can switch 180 degrees on you.
The north side of Kelly's Island: very nice cove, lots of boats on weekends.
In front of the Perry Monument at Put-In-Bay: never anchored there, but it looks VERY rocky due to boat traffic.
North end of Pointe Mouillee spoil area (west of the Detroit River Light). VERY protected from the weather; don't know if I'd want to swim in there though.
East side of Sugar Island (East side of Grosse Ile, MI), north of the seawall extending from the Livingstone Channel. I haven't anchored there, and the chart shows it is pretty shallow, but I know of other people in sailboats that
anchor there.
Crystal Bay, (north of Bois Blanc (Boblo) Island). Used to have HUGE crowds on weekends, but I'm not sure if they still do.
You can tie up right in front of the R&R Hall FOR FREE (at least you could three summers ago). It is a public park and is VERY sheltered, but it is DOWNTOWN and open to the public, so lock your stuff up. We didn't have any problems, but we heard of some who did.
If I can think of some more, I'll post them.