This has happened to me twice, once in the Chesapeake and another time in the Bahamas. The Chesapeake incident was memorable.
We knew from the forecast that a front was due through later that day so we anchored in 10' of water up a creek off of the Chester River. The creek was about 1/2 mile wide where we anchored and we were reasonably well protected. As we were coming in we noticed a raft up of big power cruisers right at the mouth of the creek.
So we settled in, had a few drinks, lit up the BBQ and grilled some steaks. We took the steaks down below for dinner as by then it was dark. Just as we were digging in we heard the wind howl. The boat heeled hard over and our plates when flying at the first big gust, then flipped around 180 degrees. The top flew off of the BBQ. It looked like a big horizontal sky rocket with the wind blowing the charcoal sparks aft of the boat. We started dragging and so I started the engine and went forward while my wife managed the helm. I couldn't do anything about the anchor and we were getting close to shore, so I had her gun the engine and drag the anchor forward. We dragged it until we got into the middle of the creek. I dropped a secondary anchor and both held in a V formation. We tidied up the BBQ and went below to eat our cold steaks.
The next morning we pulled up the anchors and motored out of the creek. At the mouth we saw that the boats in the raft up had all stacked up on the beach like firewood. There must have been several million dollars worth of boats- all hard aground and one stacked on top of the other. We didn't stick around to watch this mess get untangled but it must have taken some big tow boats to pull each of these big guys off of the beach and each other.
The bahamas incident wasn't nearly as dramatic. We were anchored in thin silt over a hard coral bottom and when the wind shifted we started dragging. Started the motor, pulled forward into a patch of sand clear of seaweed and reset.
Like the title says, a big wind shift almost always causes dragging. The anchor pulls out and the boat is moving too fast for it to reset.
David