The nail guns (e.g. Remington) are fun if you are into loud noise and
things that require safety goggles. They also work well and don't
crack the concrete too much. I put up 2X4 standards for shelves in my
basement that way. You can also drill holes and use tapcons or
whatever, but personally, I find drilling holes in concrete with a
homeowner type drill very tedious. Another option is to avoid
fastening the 2X4s to the wall altogether -- you may be able to attach
them to a wooden sill plate or joist at the top (using an angle iron or
strap) and just let them rest against the wall. When loaded with
shelves they will want to pull away at the top, and push in at the
bottom.